<SEC-DOCUMENT>0000891092-12-003687.txt : 20120702
<SEC-HEADER>0000891092-12-003687.hdr.sgml : 20120702
<ACCEPTANCE-DATETIME>20120702162619
ACCESSION NUMBER:		0000891092-12-003687
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		8
CONFORMED PERIOD OF REPORT:	20120430
FILED AS OF DATE:		20120702
DATE AS OF CHANGE:		20120702
EFFECTIVENESS DATE:		20120702

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21566
		FILM NUMBER:		12940664

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

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

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

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK VARIABLE RATE & INFLATION PROTECTED SECURITIES
		DATE OF NAME CHANGE:	20040416
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>e48953ncsrs.htm
<DESCRIPTION>SEMI-ANNUAL REPORT
<TEXT>
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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 78pt; text-indent: -78pt"><FONT STYLE="vertical-align: baseline"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font-weight: normal; vertical-align: baseline">UNITED
STATES</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font-weight: normal; vertical-align: baseline">SECURITIES
AND EXCHANGE COMMISSION </FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font-weight: normal; vertical-align: baseline">Washington,
D.C. 20549</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 78pt; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><B>FORM N-CSR</B></P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in"><B>CERTIFIED SHAREHOLDER REPORT
OF REGISTERED MANAGEMENT INVESTMENT COMPANIES</B></P>

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

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Investment Company Act file number
811-21566</P>

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

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

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

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

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

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

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

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

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Date of fiscal year end: 10/31/2012</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Date of reporting period: 04/30/2012</P>

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

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

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

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<BR>

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  <TR STYLE="vertical-align: top; text-align: left; font-family: Arial, Helvetica, Sans-Serif">
    <TD STYLE="width: 50%; font-family: Arial, Helvetica, Sans-Serif"><IMG SRC="blackrocklogo.jpg" BORDER="0"> </TD>
    <TD STYLE="width: 50%; font-family: Arial, Helvetica, Sans-Serif">
      <P STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">April
                                                                      30, 2012</P>
    </TD>
  </TR>
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<BR>

<P STYLE="text-align: left; margin-top: 72pt; font: 18pt Times New Roman, Times, Serif; background-color: rgb(57,76,135); color: White; padding-top: 12pt; padding-bottom: 12pt; padding-left: 12pt">Semi-Annual Report (Unaudited)</P>
<P STYLE="text-align: left; margin-left: 12pt; margin-top: 0pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Webdings; color: Gray">&#52;</FONT>BlackRock
Credit Allocation Income Trust I, Inc. (PSW)</P>
<P STYLE="text-align: left; margin-left: 12pt; margin-top: 0pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Webdings; color: Gray">&#52;</FONT>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</P>
<P STYLE="text-align: left; margin-left: 12pt; margin-top: 0pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Webdings; color: Gray">&#52;</FONT>BlackRock Credit Allocation Income Trust III (BPP)</P>
<P STYLE="text-align: left; margin-left: 12pt; margin-top: 0pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Webdings; color: Gray">&#52;</FONT>BlackRock Credit Allocation Income Trust IV (BTZ)</P>
<P STYLE="text-align: left; margin-left: 12pt; margin-top: 0pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Webdings; color: Gray">&#52;</FONT>BlackRock Floating Rate Income Trust (BGT)</P>
<P STYLE="text-align: center; border: Black 1pt solid; font: 10pt Times New Roman, Times, Serif; margin-right: 50%"><B>Not FDIC Insured &#149; No Bank Guarantee &#149; May Lose Value</B></P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid; color: #394c87"> <FONT COLOR="#394c87">Table of Contents</FONT></P>
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    <TD STYLE="text-align: right; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Page</FONT></B></TD>
  </TR>





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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_001">Dear Shareholder</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Semi-Annual Report:</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_002">Fund Summaries</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_003">The Benefits and Risks of Leveraging</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_004">Derivative Financial Instruments</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
  </TR>

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

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

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_005">Schedules of Investments</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_006">Statements of Assets and Liabilities</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">55</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_007">Statements of Operations</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">56</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_008">Statements of Changes in Net Assets</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">57</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_009">Statements of Cash Flows</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">60</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_010">Financial Highlights</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">61</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_011">Notes to Financial Statements</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">66</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_012">Officers and Directors</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">78</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><A HREF="#a_013">Additional Information</A></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">79</TD>
  </TR>
</TABLE>
<BR>

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<DIV STYLE="margin-right: 2%; width: 58%; float: left; font-family: Arial, Helvetica, Sans-Serif">


<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid; color: #394c87"><A NAME="a_001"></A> <FONT COLOR="#394c87">Dear Shareholder</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">One year ago at this time, risk assets were in a broad retreat as political strife in Greece ignited fears about sovereign debt problems spreading across Europe and economic indicators signaled that the global recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. Early in August 2011, Standard &amp; Poor&rsquo;s downgraded the US government&rsquo;s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as the European debt crisis intensified. Macro news flow became the dominant force in financial markets, driving asset prices up and down in lock step, in a risk on/risk off trading pattern. By the end of the third quarter in 2011, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">October 2011 brought enough positive economic data to
assuage fears of a global double-dip recession. Additionally, European leaders began making concerted efforts to stem the
region&rsquo;s debt crisis. Investors began to reenter the markets, putting risk assets on the road to recovery. Improving
sentiment carried over into early 2012 as a number of factors elicited greater optimism. Sovereign debt problems in Europe
became less pressing. Greece secured its second bailout package and completed the restructuring of its national debt. The
European Central Bank gave financial markets a boost by providing additional liquidity through its long-term refinancing
operations. The outlook for the global economy grew less dim as stronger data from the United States, particularly from the
labor market, lifted sentiment. Hopes for additional monetary stimulus from the US Federal Reserve and strong corporate
earnings pushed risk assets (including stocks, commodities and high yield bonds) higher through the first two months of the
year while rising Treasury yields pressured higher-quality fixed income assets. The risk rally softened in late March,
however, due to renewed fears about slowing growth in China and Europe&rsquo;s debt troubles. Equity markets staggered
downward in April as Spain&rsquo;s financial situation became increasingly severe and elections in Greece and France added to
uncertainty about the future of the euro zone. In the United States, disappointing jobs reports in April revealed that the
recent acceleration in the labor market had been a short-lived surge. Overall, US economic data signaled that the pace of the
recovery had slowed, but not to the extent that warranted additional monetary stimulus.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Thanks in large part to an exceptionally strong first quarter of 2012, equities and high yield bonds posted solid returns for the 6-month period ended April 30, 2012. On a 12-month basis, US large-cap stocks and high yield bonds delivered positive results; however, small-cap stocks finished in negative territory. International and emerging equities, which experienced significant downturns in 2011, lagged the broader rebound. Fixed income securities, including corporate, government and municipal bonds, performed well despite recent yield volatility. US Treasury bonds finished strong, with an April rally erasing the effects of their broad sell-off during February and March. Continued low short-term interest rates kept yields on money market securities near their all-time lows.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Financial markets have regained a significant degree of
stability since the period of turmoil we endured last year; however, considerable headwinds remain. Political uncertainty in Europe
elevates concerns about additional flare ups in the debt crisis. Higher energy prices and slowing growth in China continue to
pose risks for the global economy. Potential political leadership changes around the world create additional layers of uncertainty.
But, we believe that with these challenges come opportunities. We remain committed to working with you and your financial professional
to identify actionable ideas for your portfolio. We encourage you to visit <B>www.blackrock.com/newworld</B> for more information.</P>


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

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

</DIV><DIV STYLE="margin-left: 2%; width: 38%; float: right; font-family: Arial, Helvetica, Sans-Serif">


<P STYLE="text-align: left; font: 10pt Times New Roman, Times, Serif"><I><IMG SRC="robkapito.jpg" ALT=""><BR>
&ldquo;Financial markets have regained a significant degree of stability since the period of turmoil we endured last year; however, considerable headwinds remain.&rdquo;</I></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; margin-bottom: 0pt"><B>Rob Kapito</B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; margin-top: 0pt">President, BlackRock Advisors, LLC</P>
<P STYLE="text-align: left; border-top: rgb(57,76,165) 2pt solid; padding-top: 12pt; font-family: Times New Roman, Times, Serif"><B>Total Returns as of April 30, 2012</B></P>
<TABLE CELLSPACING="0" BORDER="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif; color: White">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; background-color: Black; color: White">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; background-color: Black; color: White">6-month</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; background-color: Black; color: White">12-month</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="5" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 50%">US large cap equities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 16%">12.77</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 9%">%</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 17%">4.76</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 8%">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(S&amp;P 500<SUP>&#174; </SUP>Index)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="5" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US small cap equities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">11.02</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4.25</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(Russell 2000<SUP>&#174; </SUP>Index)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="5" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">International equities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.44</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(12.82</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">(MSCI Europe, Australasia,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Far East Index)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="5" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Emerging market</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3.93</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(12.61</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">equities (MSCI Emerging</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Markets Index)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="5" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month Treasury</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.01</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.05</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">bill (BofA Merrill Lynch</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-Month Treasury</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bill Index)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="5" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury securities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3.83</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16.41</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">(BofA Merrill Lynch 10-</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Year US Treasury Index)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="5" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US investment grade</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2.44</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7.54</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">bonds (Barclays US</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aggregate Bond Index)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="5" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tax-exempt municipal</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5.71</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">11.90</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">bonds (S&amp;P Municipal</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bond Index)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="5" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US high yield bonds</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6.91</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5.89</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">(Barclays US Corporate</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">High Yield 2% Issuer</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capped Index)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; border-bottom: rgb(57,76,165) 2pt solid; font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 3pt; padding-bottom: 6pt">Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.</P>

</DIV><BR STYLE="clear:both">

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<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><A NAME="a_002"></A><FONT COLOR=#394c87>Fund Summary </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">as of April 30, 2012</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><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; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Fund Overview</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Credit Allocation Income Trust I, Inc.&rsquo;s (PSW) (the &ldquo;Fund&rdquo;) </B>primary investment objective is to provide holders of common shares (&ldquo;Common Shareholders&rdquo;) 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 &ldquo;junk&rdquo; 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.</P>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">No
assurance can be given that the Fund&rsquo;s investment objective will be achieved.</P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Portfolio Management Commentary</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>How did the Fund perform?</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>For the six months ended April 30, 2012, the Fund returned 13.41% based on market
price and 7.14% based on net asset value (&ldquo;NAV&rdquo;). For the same period, the closed-end Lipper Corporate Debt Funds
(BBB-Rated) category posted an average return of 8.46% based on market price and 5.24% based on NAV. All returns reflect reinvestment
of dividends. The Fund&rsquo;s discount to NAV, which narrowed during the period, accounts for the difference between performance
based on market price and performance based on NAV. The following discussion relates to performance based on NAV.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>What factors influenced performance?</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Spread sectors outperformed government-related debt for the six-month period as improving
US economic fundamentals and accommodative monetary policy provided a backdrop that was conducive to credit spread compression.
Accordingly, the Fund benefited from its allocations to investment grade and high yield corporate credit. The Fund&rsquo;s high
yield exposure was the largest contributor to performance despite recent weakness in the sector, as higher carry yields (income
generation) and improving fundamentals helped to offset price declines. Within corporate credit, the Fund benefited from exposure
to higher-beta names (those with greater sensitivity to market movements) in the industrials space. A bias toward financials also
had a positive impact. Finally, the Fund&rsquo;s duration stance (sensitivity to interest rate movements) contributed positively
to returns as rates generally moved lower throughout the period.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>The Fund&rsquo;s duration and yield curve exposure was managed using interest rate
derivative instruments such as futures contracts, options and swaps. These positions were put in place to limit the impact of
expected volatility in interest rates and to express the Fund&rsquo;s yield curve preference. These positions resulted in a slight
net negative impact on performance for the period.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe recent portfolio activity.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>During the six-month period, the Fund generally favored high quality companies with
strong balance sheets. The Fund maintained a bias toward financials, but shifted to a neutral stance in industrials. The Fund
increased exposure to the utilities sector, which appeared attractive on a relative basis while offering downside protection should
the pace of the economic recovery continue to slow. The Fund maintained an emphasis on liquidity in order to take advantage of
select opportunities in corporate credit. The Fund reduced its overall risk profile by decreasing leverage and portfolio duration
over the period.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe portfolio positioning at period end.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>European sovereign debt fears have once again resurfaced and macro risks remain a
key driver of market volatility. As of period end, the Fund seeks to maintain a near-term short duration bias and remains cautiously
optimistic on corporate credit.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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&rsquo;s
corporate credit holdings reflect a bias toward utilities over financials and industrials. The Fund favors media cable and media
non-cable names as well as insurance companies.</TD>
</TR></TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">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.</P>
<!-- Field: Page; Sequence: 5 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust I, Inc.</FONT></B></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Fund Information</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Symbol on New York Stock Exchange (&ldquo;NYSE&rdquo;)</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">PSW</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Initial Offering Date</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">August 1, 2003</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Yield on Closing Market Price as of April 30, 2012 ($10.08)<SUP>1</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">7.08%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Monthly Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.0595</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Annualized Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.7140</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Economic Leverage as of April 30, 2012<SUP>3</SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">28%</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The distribution rate is not constant and is subject to change.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The table below summarizes the changes in the Fund&rsquo;s market price and NAV per share:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>4/30/12</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>10/31/11</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Change</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>High</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Low</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Market Price</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.08</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$&nbsp;&nbsp;9.25</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">8.97%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.31</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$&nbsp;&nbsp;8.86</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net Asset Value</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.83</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.52</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">2.95%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.88</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.06</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following charts show the portfolio composition and credit quality allocations of the Fund&rsquo;s long-term investments:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Portfolio Composition</FONT></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">82</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Preferred Securities</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17 </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Asset Backed Securities</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Taxable Municipal Bonds</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Obligations</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE>
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Credit Quality Allocations</FONT></B><B><SUP><FONT COLOR=#394c87>4</FONT></SUP></B></TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AAA/Aaa<SUP>5</SUP></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AA/Aa</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">A</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">25</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">28</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BBB/Baa</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">42</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">38</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BB/Ba</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">B</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CCC/Caa</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Not Rated</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Using the higher of Standard &amp; Poor&rsquo;s (&ldquo;S&amp;P&rsquo;s&rdquo;) or
Moody&rsquo;s Investors Service (&ldquo;Moody&rsquo;s&rdquo;) ratings.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Includes US Treasury obligations that are deemed AAA by the investment advisor</TD>
</TR></TABLE>
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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Fund Summary </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">as of April 30, 2012</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><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; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Fund Overview</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Credit Allocation Income Trust II, Inc.&rsquo;s (PSY) (the &ldquo;Fund&rdquo;) </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 &ldquo;junk&rdquo; 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.</P>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">No assurance can be given that the Fund&rsquo;s investment objective will be achieved.</P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Portfolio Management Commentary</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>How did the Fund perform?</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>For the six months ended April 30, 2012, the Fund returned 14.78% based on market
price and 7.57% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds (BBB-Rated) category posted an average
return of 8.46% based on market price and 5.24% based on NAV. All returns reflect reinvestment of dividends. The Fund&rsquo;s
discount to NAV, which narrowed during the period, accounts for the difference between performance based on market price and performance
based on NAV. The following discussion relates to performance based on NAV.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>What factors influenced performance?</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Spread sectors outperformed government-related debt for the six-month period as improving
US economic fundamentals and accommodative monetary policy provided a backdrop that was conducive to credit spread compression.
Accordingly, the Fund benefited from its allocations to investment grade and high yield corporate credit. The Fund&rsquo;s high
yield exposure was the largest contributor to performance despite recent weakness in the sector, as higher carry yields (income
generation) and improving fundamentals helped to offset price declines. Within corporate credit, the Fund benefited from exposure
to higher-beta names (those with greater sensitivity to market movements) in the industrials space. A bias toward financials also
had a positive impact. Finally, the Fund&rsquo;s duration stance (sensitivity to interest rate movements) contributed positively
to returns as rates generally moved lower throughout the period.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>The Fund&rsquo;s duration and yield curve exposure was managed using interest rate
derivative instruments such as futures contracts, options and swaps. These positions were put in place to limit the impact of
expected volatility in interest rates and to express the Fund&rsquo;s yield curve preference. These positions resulted in a slight
net negative impact on performance for the period.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe recent portfolio activity.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>During the six-month period, the Fund generally favored high quality companies with
strong balance sheets. The Fund maintained a bias toward financials, but shifted to a neutral stance in industrials. The Fund
increased exposure to the utilities sector, which appeared attractive on a relative basis while offering downside protection should
the pace of the economic recovery continue to slow. The Fund maintained an emphasis on liquidity in order to take advantage of
select opportunities in corporate credit. The Fund reduced its overall risk profile by decreasing leverage and portfolio duration
over the period.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe portfolio positioning at period end.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>European sovereign debt fears have once again resurfaced and macro risks remain a
key driver of market volatility. As of period end, the Fund seeks to maintain a near-term short duration bias and remains cautiously
optimistic on corporate credit.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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&rsquo;s
corporate credit holdings reflect a bias toward utilities over financials and industrials. The Fund favors media cable and media
non-cable names as well as insurance companies.</TD>
</TR></TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">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.</P>
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<P STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust II, Inc.</FONT></B></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Fund Information</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Symbol on NYSE</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">PSY</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Initial Offering Date</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">March 28, 2003</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Yield on Closing Market Price as of April 30, 2012 ($10.79)<SUP>1</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">6.78%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Monthly Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.061</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Annualized Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.732</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Economic Leverage as of April 30, 2012<SUP>3</SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">27%</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The distribution rate is not constant and is subject to change.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The table below summarizes the changes in the Fund&rsquo;s market price and NAV per share:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>4/30/12</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>10/31/11</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Change</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>High</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Low</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Market Price</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.79</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$&nbsp;&nbsp;9.74</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">10.78%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.81</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$&nbsp;&nbsp;9.42</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net Asset Value</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$11.68</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$11.25</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;3.82%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$11.70</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.84</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following charts show the portfolio composition and credit quality allocations of the Fund&rsquo;s long-term investments:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Portfolio Composition</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">79</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Preferred Securities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">18</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Obligations</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Asset Backed Securities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Taxable Municipal Bonds</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Credit Quality Allocations</FONT></B><B><SUP><FONT COLOR=#394c87>4</FONT></SUP></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AAA/Aaa<SUP>5</SUP></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AA/Aa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">A</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">25</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">26</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BBB/Baa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">42</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">39</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BB/Ba</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">B</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CCC/Caa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Not Rated</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Using the higher of S&amp;P&rsquo;s or Moody&rsquo;s ratings.</TD>
</TR></TABLE>
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<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Includes US Treasury obligations that are deemed AAA by the investment advisor.</TD>
</TR></TABLE>
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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->7<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Fund Summary </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">as of April 30, 2012</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><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; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Fund Overview</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Credit Allocation Income Trust III&rsquo;s (BPP) (the &ldquo;Fund&rdquo;) </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 &ldquo;junk&rdquo; 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.</P>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">No assurance can be given that the Fund&rsquo;s investment objective will be achieved.</P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Portfolio Management Commentary</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>How did the Fund perform?</B></P>
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<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>For the six months ended April 30, 2012, the Fund returned 12.37% based on market
price and 7.12% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds (BBB-Rated) category posted an average
return of 8.46% based on market price and 5.24% based on NAV. All returns reflect reinvestment of dividends. The Fund&rsquo;s
discount to NAV, which narrowed during the period, accounts for the difference between performance based on market price and performance
based on NAV. The following discussion relates to performance based on NAV.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>What factors influenced performance?</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Spread sectors outperformed government-related debt for the six-month period as improving
US economic fundamentals and accommodative monetary policy provided a backdrop that was conducive to credit spread compression.
Accordingly, the Fund benefited from its allocations to investment grade and high yield corporate credit. The Fund&rsquo;s high
yield exposure was the largest contributor to performance despite recent weakness in the sector, as higher carry yields (income
generation) and improving fundamentals helped to offset price declines. Within corporate credit, the Fund benefited from exposure
to higher-beta names (those with greater sensitivity to market movements) in the industrials space. A bias toward financials also
had a positive impact. Finally, the Fund&rsquo;s duration stance (sensitivity to interest rate movements) contributed positively
to returns as rates generally moved lower throughout the period.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>The Fund&rsquo;s duration and yield curve exposure was managed using interest rate
derivative instruments such as futures contracts, options and swaps. These positions were put in place to limit the impact of
expected volatility in interest rates and to express the Fund&rsquo;s yield curve preference. These positions resulted in a slight
net negative impact on performance for the period.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe recent portfolio activity.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>During the six-month period, the Fund generally favored high quality companies with
strong balance sheets. The Fund maintained a bias toward financials, but shifted to a neutral stance in industrials. The Fund
increased exposure to the utilities sector, which appeared attractive on a relative basis while offering downside protection should
the pace of the economic recovery continue to slow. The Fund maintained an emphasis on liquidity in order to take advantage of
select opportunities in corporate credit. The Fund reduced its overall risk profile by decreasing leverage and portfolio duration
over the period.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe portfolio positioning at period end.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>European sovereign debt fears have once again resurfaced and macro risks remain a
key driver of market volatility. As of period end, the Fund seeks to maintain a near-term short duration bias and remains cautiously
optimistic on corporate credit.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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&rsquo;s
corporate credit holdings reflect a bias toward utilities over financials and industrials. The Fund favors media cable and media
non-cable names as well as insurance companies.</TD>
</TR></TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">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.</P>
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<P STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust III</FONT></B></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Fund Information</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Symbol on NYSE</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">BPP</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Initial Offering Date</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">February 28, 2003</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Yield on Closing Market Price as of April 30, 2012 ($11.43)<SUP>1</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">6.67%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Monthly Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.0635</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Annualized Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.7620</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Economic Leverage as of April 30, 2012<SUP>3</SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">24%</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The distribution rate is not constant and is subject to change.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The table below summarizes the changes in the Fund&rsquo;s market price and NAV per share:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>4/30/12</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>10/31/11</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Change</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>High</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Low</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Market Price</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$11.43</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.53</TD>
     <TD STYLE="text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif">8.55%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$11.45</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$10.05</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net Asset Value</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$12.49</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$12.07</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3.48%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$12.55</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$11.58</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following charts show the portfolio composition and credit quality allocations of the Fund&rsquo;s long-term investments:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Portfolio Composition</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">83</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">83</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Preferred Securities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Obligations</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Taxable Municipal Bonds</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Credit Quality Allocations</FONT></B><B><SUP><FONT COLOR=#394c87>4</FONT></SUP></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AAA/Aaa<SUP>5</SUP></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AA/Aa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">A</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">27</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">31</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BBB/Baa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">39</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">37</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BB/Ba</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">B</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CCC/Caa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Not Rated</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Using the higher of S&amp;P&rsquo;s or Moody&rsquo;s ratings.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Includes US Treasury obligations that are deemed AAA by the investment advisor.</TD>
</TR></TABLE>
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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->9<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Fund Summary </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">as of April 30, 2012</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><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; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Fund Overview</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Credit Allocation Income Trust IV&rsquo;s (BTZ) (the &ldquo;Fund&rdquo;) </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 &ldquo;junk&rdquo; 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.</P>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">No assurance can be given that the Fund&rsquo;s investment objective will be achieved.</P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Portfolio Management Commentary</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>How did the Fund perform?</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>For the six months ended April 30, 2012, the Fund returned 13.87% based on market
price and 7.46% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds (BBB-Rated) category posted an average
return of 8.46% based on market price and 5.24% based on NAV. All returns reflect reinvestment of dividends. The Fund&rsquo;s
discount to NAV, which narrowed during the period, accounts for the difference between performance based on market price and performance
based on NAV. The following discussion relates to performance based on NAV.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>What factors influenced performance?</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Spread sectors outperformed government-related debt for the six-month period as improving
US economic fundamentals and accommodative monetary policy provided a backdrop that was conducive to credit spread compression.
Accordingly, the Fund benefited from its allocations to investment grade and high yield corporate credit. The Fund&rsquo;s high
yield exposure was the largest contributor to performance despite recent weakness in the sector, as higher carry yields (income
generation) and improving fundamentals helped to offset price declines. Within corporate credit, the Fund benefited from exposure
to higher-beta names (those with greater sensitivity to market movements) in the industrials space. A bias toward financials also
had a positive impact. Finally, the Fund&rsquo;s duration stance (sensitivity to interest rate movements) contributed positively
to returns as rates generally moved lower throughout the period.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>The Fund&rsquo;s duration and yield curve exposure was managed using interest rate
derivative instruments such as futures contracts, options and swaps. These positions were put in place to limit the impact of
expected volatility in interest rates and to express the Fund&rsquo;s yield curve preference. These positions resulted in a slight
net negative impact on performance for the period.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe recent portfolio activity.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>During the six-month period, the Fund generally favored high quality companies with
strong balance sheets. The Fund maintained a bias toward financials, but shifted to a neutral stance in industrials. The Fund
increased exposure to the utilities sector, which appeared attractive on a relative basis while offering downside protection should
the pace of the economic recovery continue to slow. The Fund maintained an emphasis on liquidity in order to take advantage of
select opportunities in corporate credit. The Fund reduced its overall risk profile by decreasing leverage and portfolio duration
over the period.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe portfolio positioning at period end.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>European sovereign debt fears have once again resurfaced and macro risks remain a
key driver of market volatility. As of period end, the Fund seeks to maintain a near-term short duration bias and remains cautiously
optimistic on corporate credit.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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&rsquo;s
corporate credit holdings reflect a bias toward utilities over financials and industrials. The Fund favors media cable and media
non-cable names as well as insurance companies.</TD>
</TR></TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">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.</P>
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<BR>
<P STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust IV</FONT></B></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Fund Information</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Symbol on NYSE</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">BTZ</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Initial Offering Date</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">December 27, 2006</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Yield on Closing Market Price as of April 30, 2012 ($13.26)<SUP>1</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">7.10%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Monthly Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.0785</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Annualized Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.9420</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Economic Leverage as of April 30, 2012<SUP>3</SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">27%</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The distribution rate is not constant and is subject to change.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The table below summarizes the changes in the Fund&rsquo;s market price and NAV per share:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>4/30/12</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>10/31/11</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Change</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>High</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Low</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Market Price</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$13.26</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$12.08</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">9.77%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$13.34</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$11.76</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net Asset Value</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$14.44</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$13.94</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3.59%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$14.51</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$13.37</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following charts show the portfolio composition of the Fund&rsquo;s long-term investments and credit quality allocations of the Fund&rsquo;s long-term investments:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Portfolio Composition</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">78</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Preferred Securities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">18</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Asset Backed Securities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Obligations</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Taxable Municipal Bonds</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Credit Quality Allocations</FONT></B><B><SUP><FONT COLOR=#394c87>4</FONT></SUP></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AAA/Aaa<SUP>5</SUP></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AA/Aa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">A</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">29</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">29</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BBB/Baa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">40</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">37</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BB/Ba</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">B</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CCC/Caa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Not Rated</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Using the higher of S&amp;P&rsquo;s or Moody&rsquo;s ratings.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Includes US Treasury Obligations that are deemed AAA by the investment advisor.</TD>
</TR></TABLE>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Fund Summary </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">as of April 30, 2012</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><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; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Fund Overview</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>BlackRock Floating Rate Income Trust&rsquo;s (BGT) (the &ldquo;Fund&rdquo;) </B>primary investment objective is to provide a high level of current income. The Fund&rsquo;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.</P>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">No assurance can be given that the Fund&rsquo;s investment objectives will be achieved.</P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Portfolio Management Commentary</FONT></B></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>How did the Fund perform?</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>For the six months ended April 30, 2012, the Fund returned 16.01% based on market
price and 6.83% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return
of 12.22% based on market price and 7.00% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount
to NAV to a premium by period end, which accounts for the difference between performance based on market price and performance
based on NAV. The following discussion relates to performance based on NAV.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>What factors influenced performance?</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Security selection among higher-quality loan instruments had a positive impact on
the Fund&rsquo;s performance. Selection in the electric and diversified manufacturing sectors also boosted returns. The Fund&rsquo;s
tactical exposure to high yield bonds contributed positively as the asset class outperformed loans given improving investor demand
for riskier assets over the six-month period.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>The Fund&rsquo;s higher-quality loan bias, the core of its investment strategy, detracted
from performance as lower-quality loan instruments rallied higher amid increasing demand for risk. The Fund&rsquo;s exposure to
the media non-cable sector also had a negative effect on returns.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe recent portfolio activity.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>The period began with severe market volatility in reaction to headwinds from Europe&rsquo;s
debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank
announced a long-term refinancing operation. This liquidity program provided a much-needed short-term fix for the financial markets
and helped to mitigate the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn
in the valuation of risk assets.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>During the period, the Fund maintained its focus on the higher quality portions of
the loan market in terms of loan structure, liquidity and overall credit quality. Given the fragile outlook for global growth,
the Fund remained cautious of lower-rated less-liquid loans. The Fund sought issuers with attractive risk-reward characteristics
and superior fundamentals. While the developments during the period bode well for the posture of risk markets going forward, the
Fund continues to maintain a high quality bias.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Describe portfolio positioning at period end.</B></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>At period end, the Fund held 81% of its total portfolio in floating rate loan interests
(bank loans) and 15% in corporate bonds, with the remainder invested in a mix of asset-backed securities, foreign agency obligations
and common stocks. The Fund&rsquo;s largest sector exposures included media non-cable, media cable, and chemicals. The Fund ended
the period with leverage at 29% of its total managed assets.</TD>
</TR></TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">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.</P>
<!-- Field: Page; Sequence: 13 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->12<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Floating Rate Income Trust</FONT></B></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Fund Information</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Symbol on NYSE</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">BGT</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Initial Offering Date</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">August 30, 2004</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Yield on Closing Market Price as of April 30, 2012 ($14.41)<SUP>1</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">6.45%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Monthly Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.0775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Current Annualized Distribution per Common Share<SUP>2</SUP></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$0.9300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Economic Leverage as of April 30, 2012<SUP>3</SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">29%</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The distribution rate is not constant and is subject to change.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The table below summarizes the changes in the Fund&rsquo;s market price and NAV per share:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>4/30/12</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>10/31/11</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Change</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>High</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Low</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Market Price</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$14.41</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$13.00</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">10.85%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$14.57</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">$12.55</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Net Asset Value</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$14.26</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$13.97</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">2.08%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$14.26</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$13.53</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following charts show the portfolio composition of the Fund&rsquo;s long-term investments and credit quality allocations of the Fund&rsquo;s long-term investments excluding common stocks and floating rate loan interests:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Portfolio Composition</FONT></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">81</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">78</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">18</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Asset Backed Securities</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Foreign Agency Obligations</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Common Stocks</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Other Interests</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding: 1pt 6pt 1pt 12pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif"><B><FONT STYLE="color: #394c87">Credit Quality Allocations</FONT></B><B><SUP><FONT COLOR=#394c87>4</FONT></SUP></B></TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); font-family: Arial, Helvetica, Sans-Serif; width: 5%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>4/30/12</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>10/31/11</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AAA/Aaa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AA/Aa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">A</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BBB/Baa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">25</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BB/Ba</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">32</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">27</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">B</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">33</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">34</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CCC/Caa</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Not Rated</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 8pt Arial, Helvetica, Sans-Serif"><SUP>4 </SUP>Using the higher of S&amp;P&rsquo;s or Moody&rsquo;s ratings.</P>
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid; color: #394c87"><A NAME="a_003"></A> <FONT COLOR="#394c87">The Benefits and Risks of Leveraging</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds may utilize leverage to seek to enhance the yield and NAV of their common shares (&ldquo;Common Shares&rdquo;). However, these objectives cannot be achieved in all interest rate environments.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds may utilize leverage by borrowing through a credit facility or through entering into reverse repurchase agreements. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Fund on its longer-term portfolio investments. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund&rsquo;s shareholders will benefit from the incremental net income.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">To illustrate these concepts, assume a Fund&rsquo;s capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Fund&rsquo;s long-term investments, and therefore the Fund&rsquo;s shareholders are the beneficiaries of the incremental net income.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Fund pays higher short-term interest rates whereas the Fund&rsquo;s total portfolio earns income based on lower long-term interest rates.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Furthermore, the value of the Funds&rsquo; 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&rsquo; borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds&rsquo; NAV positively or negatively in addition to the impact on Fund performance from borrowings discussed above.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">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&rsquo; 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&rsquo; 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&rsquo;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&rsquo;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.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Under the Investment Company Act of 1940, as amended (the
&ldquo;1940 Act&rdquo;), the Funds are permitted to issue senior securities representing indebtedness up to 33<SUP>1</SUP>/<FONT STYLE="font-size: 7pt">3</FONT>%
of their total managed assets (each Fund&rsquo;s net assets plus the proceeds of any outstanding borrowings used for leverage).
If the Funds segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse
repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. Each Fund,
however, voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of April 30, 2012, the Funds had
aggregate economic leverage from reverse repurchase agreements and/or borrowings through a credit facility as a percentage of
their total managed assets as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 18%; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B>Percent of</B><BR>
<B>Economic</B><BR>
<B>Leverage</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">PSW</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">28%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">PSY</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">27%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BPP</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">24%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BTZ</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">27%</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BGT</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">29%</TD></TR></TABLE><BR>
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid; color: #394c87"><A NAME="a_004"></A> <FONT COLOR="#394c87">Derivative Financial Instruments</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Funds may invest in various derivative financial
instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps, as specified in
Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial
instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge
market, equity, credit, interest rate, 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&rsquo; ability to use a derivative financial instrument successfully depends on the investment advisor&rsquo;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&rsquo; investments in these instruments are discussed in detail in the Notes to Financial Statements.</P>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; 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)">April 30, 2012 (Unaudited)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed Securities</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">321 Henderson Receivables I LLC, Series 2012-1A,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Class A, 4.21%, 2/16/65 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 257,043</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Atrium CDO Corp., Series 5A, Class A4,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.88%, 7/20/20 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">549,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SLM Student Loan Trust, Series 2004-B, Class A2,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.67%, 6/15/21 (b)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">468</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">448,515</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Asset-Backed Securities &#151; 1.1%</B></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,254,808</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Aerospace &amp; Defense &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BE Aerospace, Inc., 8.50%, 7/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">560</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">620,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Huntington Ingalls Industries, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">158,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 3/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">140</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">148,225</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kratos Defense &amp; Security Solutions, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 6/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">282</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">303,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,230,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Airlines &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust, Series 2011-2,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Class A, 8.63%, 4/15/23</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">112</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">117,743</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Continental Airlines Pass-Through Certificates, Series</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2009-2, Class B, 9.25%, 5/10/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">314</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">343,411</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">260</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">273,571</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">734,725</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delphi Corp., 6.13%, 5/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">130</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">138,450</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Icahn Enterprises LP:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.75%, 1/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">560</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">598,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 1/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">140</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">147,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">884,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Beverages &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Constellation Brands, Inc., 7.25%, 5/15/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">460</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">519,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Building Products &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Building Materials Corp. of America (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 2/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">85</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">90,738</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 5/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">220</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">229,075</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">319,813</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 4.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">838,547</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">E*Trade Financial Corp., 12.50%, 11/30/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">440</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">512,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Goldman Sachs Group, Inc. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 1/24/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">385</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">402,015</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/01/41</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,050</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,066,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 1/25/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,025</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,012,120</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 7/28/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">265</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">259,073</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Murray Street Investment Trust I, 4.65%, 3/09/17 (d)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150,901</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS AG (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.25%, 1/28/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">375</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">376,946</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 7/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">687,348</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,306,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Chemicals &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ashland, Inc., 9.13%, 6/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Celanese US Holdings LLC, 5.88%, 6/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">370</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">396,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Chemicals (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hexion US Finance Corp., 6.63%, 4/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 209,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ineos Finance Plc (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.38%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">107,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 5/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">175</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">179,813</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LyondellBasell Industries NV, 5.75%, 4/15/24 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">445</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">459,462</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Solutia, Inc., 7.88%, 3/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">233,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,596,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks &#151; 5.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Amsouth Bank, Series AI, 4.85%, 4/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">203,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Asciano Finance Ltd., 5.00%, 4/07/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">208,196</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Associated Banc-Corp, 5.13%, 3/28/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">515</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">545,222</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Branch Banking &amp; Trust Co. (b):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.79%, 9/13/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">235,636</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.79%, 5/23/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">139,894</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">370</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">370,925</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">310</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">310,775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">280</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">288,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 2/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">246,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">City National Corp., 5.25%, 9/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">587,757</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Discover Bank, 8.70%, 11/18/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">378,392</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HSBC Finance Corp., 6.68%, 1/15/21 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">377,995</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Regions Financial Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.88%, 4/26/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">618,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 6/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">460</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">485,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SVB Financial Group, 5.38%, 9/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">605,146</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,601,238</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Services &amp; Supplies &#151; 4.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviation Capital Group Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 10/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,250,159</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 4/06/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">544,170</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Casella Waste Systems, Inc., 7.75%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">169</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">166,465</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Clean Harbors, Inc., 7.63%, 8/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">306</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">321,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corrections Corp. of America, 7.75%, 6/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">775</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">840,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Covanta Holding Corp., 6.38%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">155</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">159,435</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Iron Mountain, Inc., 7.75%, 10/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">90</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">98,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Mobile Mini, Inc., 7.88%, 12/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">65</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">69,550</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,450,054</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Communications Equipment &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc., 9.75%, 11/01/15 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">198,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Brocade Communications Systems, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 1/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">764,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hughes Satellite Systems Corp., 6.50%, 6/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">107,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,070,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Construction Materials &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">HD Supply, Inc., 8.13%, 4/15/19 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">210</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">225,488</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Consumer Finance &#151; 5.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Express Credit Corp., 2.75%, 9/15/15 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,400</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,452,643</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital One Bank USA NA, 8.80%, 7/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">775</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">978,748</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Daimler Finance North America LLC, 2.63%, 9/15/16 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">827,213</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ford Motor Credit Co. LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 4/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">690</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">769,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 8/02/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">140</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">158,212</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">420</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">451,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SLM Corp., 6.25%, 1/25/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,180</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,215,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Toll Brothers Finance Corp., 5.88%, 2/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">95</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">98,317</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,951,383</TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Portfolio Abbreviations</FONT></B></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
    <TD ROWSPAN="4" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: top; padding-right: 9pt"><FONT STYLE="font-size: 8pt">To simplify
    the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have
    been abbreviated according to the following list:</FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 7%"><FONT STYLE="font-size: 8pt"><B>CAD</B></FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 18%"><FONT STYLE="font-size: 8pt">Canadian
    Dollar</FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 7%"><FONT STYLE="font-size: 8pt"><B>GBP</B></FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 25%"><FONT STYLE="font-size: 8pt">British Pound</FONT></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt"><B>CHF</B></FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt">Swiss Franc</FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt"><B>LIBOR</B></FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt">London InterBank Offered
    Rate</FONT></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt"><B>EUR</B></FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt">Euro</FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt"><B>RB</B></FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt">Revenue Bonds</FONT></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt"><B>FKA</B></FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt">Formerly Known As</FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt"><B>USD</B></FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt">US Dollar</FONT></TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 17 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->16<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Containers &amp; Packaging &#151; 1.5%</FONT></B></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (a) </TD>
    <TD STYLE="width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 216,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ball Corp.:</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 9/01/16</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">438,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 9/15/20</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">505</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">558,025</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bemis Co., Inc., 6.80%, 8/01/19</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">238,439</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Americas LLC, 6.25%, 2/01/21</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">217,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sealed Air Corp., 8.38%, 9/15/21 (a)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">30</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">34,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,702,514</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 8.6%</FONT></B></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc.:</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 2/11/14</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">227,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.30%, 2/12/15</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">390</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">428,025</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 11/01/31</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">230</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">263,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bank of America Corp. (c):</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.75%, 7/12/16</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">348,495</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.30%, 3/15/17</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">855</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">891,720</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 5/13/21</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,318,799</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Citigroup, Inc. (c):</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 8/12/14</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">323,518</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.59%, 12/15/15</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">235,665</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.45%, 1/10/17</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">626,762</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DPL, Inc., 7.25%, 10/15/21 (a)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">255</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">283,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">General Motors Financial Co., Inc., 6.75%, 6/01/18</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">120</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">127,804</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ING Bank NV, 5.00%, 6/09/21 (a)(c)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">560,242</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intesa Sanpaolo SpA:</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.38%, 12/21/12</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">788,678</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/24/21 (a)(c)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">90,856</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Moody&rsquo;s Corp., 6.06%, 9/07/17</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,629,082</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc. (a):</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 8/15/19</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">255</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">275,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.88%, 8/15/19</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">104,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">WMG Acquisition Corp., 9.50%, 6/15/16 (a)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">50</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">54,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,577,571</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Telecommunication Services &#151; 3.5%</FONT></B></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AT&amp;T, Inc., 6.30%, 1/15/38 (c)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,198,478</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc. (a):</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 7/01/19</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">898</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">922,695</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.63%, 7/15/20</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">157,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Telecom Italia Capital SA, 6.18%, 6/18/14</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">232,268</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Telefonica Emisiones SAU, 5.46%, 2/16/21</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">310</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">291,349</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Verizon Communications, Inc., 7.35%, 4/01/39 (c)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">660</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">905,356</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Windstream Corp., 7.88%, 11/01/17</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">160</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">176,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,884,071</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electric Utilities &#151; 1.8%</FONT></B></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CMS Energy Corp., 5.05%, 3/15/22</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">275</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">279,923</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Great Plains Energy, Inc., 5.29%, 6/15/22 (d)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">375</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">409,933</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Progress Energy, Inc., 7.00%, 10/30/31 (c)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,305,337</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,995,193</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 0.3%</FONT></B></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Jabil Circuit, Inc., 8.25%, 3/15/18</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">233,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">NXP BV, 3.22%, 10/15/13 (b)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">95</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">95,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">328,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Energy Equipment &amp; Services &#151; 2.9%</FONT></B></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Atwood Oceanics, Inc., 6.50%, 2/01/20</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">25</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,313</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Transfer Partners LP, 5.20%, 2/01/22</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">746,126</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ensco Plc, 4.70%, 3/15/21 (c)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">460</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">501,932</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Frac Tech Services LLC, 7.13%, 11/15/18 (a)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">258,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (a)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">65</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">64,837</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Key Energy Services, Inc., 6.75%, 3/01/21</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">180,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., 6.50%, 3/15/21 (a)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">236,812</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Oil States International, Inc., 6.50%, 6/01/19</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">120</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">126,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Peabody Energy Corp., 6.25%, 11/15/21 (a)</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">370</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">374,625</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Energy Equipment &amp; Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Transocean, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">265</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 304,333</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 12/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">374,718</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,194,971</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food &amp; Staples Retailing &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Wal-Mart Stores, Inc., 6.20%, 4/15/38 (c)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,075</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,406,861</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food Products &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kraft Foods, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 8/11/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">385</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">467,161</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.13%, 8/23/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">390</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">471,705</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Smithfield Foods, Inc., 10.00%, 7/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">86</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">100,620</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,039,486</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Gas Utilities &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">El Paso Natural Gas Co., 8.63%, 1/15/22</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">165</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">208,833</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Equipment &amp; Supplies &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">573,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Teleflex, Inc., 6.88%, 6/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">115</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">123,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">696,175</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Providers &amp; Services &#151; 3.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aetna, Inc., 6.75%, 12/15/37</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">519,291</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviv Healthcare Properties LP, 7.75%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">105</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">109,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HCA, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">55</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">61,703</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">560</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">599,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.25%, 9/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">195</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">215,962</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">INC Research LLC, 11.50%, 7/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">165</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">162,113</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc., 10.00%, 8/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">60</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">53,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">404,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.88%, 7/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">280,312</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,071,761</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,477,592</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Technology &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Amgen, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.15%, 11/15/41 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">957</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">997,334</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.65%, 6/15/42</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,006,234</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Household Durables &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Standard Pacific Corp., 8.38%, 1/15/21</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">210</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">221,550</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Independent Power Producers &amp; Energy Traders &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AES Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.75%, 4/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">235</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">277,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 7/01/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">30</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">33,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Calpine Corp., 7.25%, 10/15/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">106,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co. LLC,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 12/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">440</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">485,650</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Laredo Petroleum, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.50%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">70</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">78,225</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/01/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">65</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">67,275</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">QEP Resources, Inc., 5.38%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">134</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">134,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,182,575</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance &#151; 6.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American International Group, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.80%, 3/22/17 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">345</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">356,322</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.25%, 8/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">181,744</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.40%, 12/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">610</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700,682</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aon Corp., 5.00%, 9/30/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,777,771</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">680,129</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">255,678</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Genworth Financial, Inc., 7.63%, 9/24/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">222,165</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ING Verzekeringen NV, 2.69%, 6/21/21 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">110</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">136,143</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Manulife Financial Corp., 4.90%, 9/17/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,044,983</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">86,250</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 18 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->17<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Principal Financial Group, Inc., 8.88%, 5/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$ </TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%">291,423</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Prudential Financial, Inc., 6.63%, 12/01/37 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">927,734</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">XL Group Ltd., 5.75%, 10/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">810</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">895,790</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,556,814</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>IT Services &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Epicor Software Corp., 8.63%, 5/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">160</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">165,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fidelity National Information Services, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 3/15/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">70</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">70,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 6/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">215</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">219,837</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.25%, 1/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">12.63%, 1/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">170</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">170,425</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SunGard Data Systems, Inc., 7.38%, 11/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">170</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">181,475</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">827,037</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Life Sciences Tools &amp; Services &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">865</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">955,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Life Technologies Corp., 6.00%, 3/01/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,162,765</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,118,590</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Machinery &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ingersoll-Rand Global Holding Co., Ltd.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.50%, 4/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">919,474</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UR Financing Escrow Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 7/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">55</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">56,788</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">140</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">147,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.63%, 4/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">129</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">136,417</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,259,679</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Media &#151; 8.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., 7.75%, 7/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">90</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100,575</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CCH II LLC, 13.50%, 11/30/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">541</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">611,330</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Comcast Corp., 6.30%, 11/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">970,414</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cox Communications, Inc., 8.38%, 3/01/39 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,148,628</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CSC Holdings LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 4/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">160</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">176,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.63%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">275</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">312,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">656,128</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DISH DBS Corp., 7.00%, 10/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">450</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">482,063</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, 7.25%, 4/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">50</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">52,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intelsat Luxemburg SA:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">11.25%, 2/04/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">155,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">11.50%, 2/04/17 (e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">104,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Interpublic Group of Cos., Inc., 10.00%, 7/15/17</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">275</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">313,156</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kabel BW Erste Beteiligungs GmbH,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 3/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">230</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">245,525</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">News America, Inc., 6.15%, 3/01/37 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,055,212</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time Warner Cable, Inc., 6.75%, 6/15/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">925</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,115,360</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time Warner, Inc., 7.70%, 5/01/32 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,244,645</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Germany GmbH), 8.13%, 12/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">257,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Virgin Media Secured Finance Plc, 6.50%, 1/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">654,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,654,961</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Metals &amp; Mining &#151; 2.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Alcoa, Inc., 5.40%, 4/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">155</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">162,906</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barrick Gold Corp., 2.90%, 5/30/16 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">275</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">288,369</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barrick North America Finance LLC, 5.70%, 5/30/41 (c)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">330,570</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan Copper &amp; Gold, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.55%, 3/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">321,127</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan Corp., 7.13%, 11/01/27</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">863,821</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">New Gold, Inc., 7.00%, 4/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">30</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">30,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc., 8.75%, 12/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">230</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">253,575</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Teck Resources Ltd., 10.75%, 5/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">247,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,498,543</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multi-Utilities &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CenterPoint Energy, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.95%, 2/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 857,432</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">922,291</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,779,723</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multiline Retail &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">JC Penney Co., Inc., 5.65%, 6/01/20 (c)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">360</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">349,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 13.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Anadarko Petroleum Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.95%, 9/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">244</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">282,099</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 9/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,884</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Berry Petroleum Co., 6.38%, 9/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">104,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BP Capital Markets Plc, 3.88%, 3/10/15 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">374,870</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Buckeye Partners LP, 4.88%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">232,426</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chesapeake Midstream Partners LP:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 4/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">140</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">133,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.13%, 7/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">110</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">105,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chesapeake Oilfield Operating LLC,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.63%, 11/15/19 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Concho Resources, Inc., 5.50%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CONSOL Energy, Inc., 6.38%, 3/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">105</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">98,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Copano Energy LLC, 7.13%, 4/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">130</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">137,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DCP Midstream LLC, 4.75%, 9/30/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350,957</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">El Paso Pipeline Partners Operating Co. LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 4/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">340</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">390,556</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 10/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">132,056</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enbridge Energy Partners LP, 9.88%, 3/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">640,756</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">247,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enterprise Products Operating LLC, 6.65%, 4/15/18 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,210,803</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Everest Acquisition LLC / Everest Acquisition</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Finance, Inc., 6.88%, 5/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">84,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Forest Oil Corp., 8.50%, 2/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">295</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">317,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kinder Morgan Energy Partners LP, 6.85%, 2/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,209,390</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kodiak Oil &amp; Gas Corp., 8.13%, 12/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">55</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">58,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Linn Energy LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 11/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">260</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">256,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.75%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">110</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">116,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Marathon Petroleum Corp., 3.50%, 3/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">340,898</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MarkWest Energy Partners LP, 6.25%, 6/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">131,563</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Newfield Exploration Co., 6.88%, 2/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">145</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">154,063</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nexen, Inc., 6.40%, 5/15/37</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">295</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">327,455</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Oasis Petroleum, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.25%, 2/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">84,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">70</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">71,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">OGX Petroleo e Gas Participacoes SA,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 6/01/18 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">280</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">290,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ONEOK Partners LP, 8.63%, 3/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,046,175</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petrobras International Finance Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.88%, 1/27/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">875</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">915,980</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.38%, 1/27/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">575,101</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petrohawk Energy Corp., 10.50%, 8/01/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">145</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">160,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">155,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Phillips 66, 2.95%, 5/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">256,530</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pioneer Natural Resources Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.65%, 3/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">170,170</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">115</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">135,382</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Plains Exploration &amp; Production Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 3/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">95</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">104,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 2/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Precision Drilling Corp., 6.50%, 12/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">95</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">98,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Premier Oil Plc, 5.00%, 6/09/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">851,812</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Range Resources Corp., 6.75%, 8/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">217,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ruby Pipeline LLC, 6.00%, 4/01/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">716,751</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Samson Investment Co., 9.75%, 2/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">145</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">151,344</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SandRidge Energy, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 3/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">45</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">45,450</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 10/15/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">50</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">51,875</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 19 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-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 -->18<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SM Energy Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.63%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">55</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 58,025</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">84,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Targa Resources Partners LP, 6.88%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">115</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">120,175</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tennessee Gas Pipeline Co., 8.00%, 2/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">195</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">227,311</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Western Gas Partners LP, 5.38%, 6/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">381,867</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Williams Cos., Inc., 8.75%, 3/15/32</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">170</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">229,691</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,778,815</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Paper &amp; Forest Products &#151; 2.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Boise Paper Holdings LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">70</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">77,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 4/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">165,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">470</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">519,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">International Paper Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 8/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">983,902</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.30%, 11/15/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">989,883</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 6/01/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">80,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,817,185</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Pharmaceuticals &#151; 4.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">145,607</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Merck &amp; Co., Inc., 6.50%, 12/01/33</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">654,982</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pfizer, Inc., 7.20%, 3/15/39 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,080</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,075,224</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Roche Holdings, Inc., 7.00%, 3/01/39 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">420</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">596,113</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 7/15/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">65</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">67,356</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,539,282</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Investment Trusts (REITs) &#151; 2.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">952,522</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Developers Diversified Realty Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.75%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">155</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">160,591</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 9/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">210,167</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ERP Operating LP, 5.75%, 6/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">920,772</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HCP, Inc., 5.38%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">275,430</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UDR, Inc., 4.25%, 6/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">371,914</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ventas Realty LP/Ventas Capital Corp.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.75%, 6/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">270</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">278,361</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,169,757</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Management &amp; Development &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Realogy Corp. (a)(c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">135</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">132,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.63%, 1/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">145</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150,438</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Shea Homes LP, 8.63%, 5/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">110</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">114,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">397,413</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Road &amp; Rail &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avis Budget Car Rental LLC, 8.25%, 1/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">25</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,187</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Florida East Coast Railway Corp., 8.13%, 2/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">40</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">41,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Hertz Corp., 6.75%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">77</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80,369</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,391,143</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,538,799</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Advanced Micro Devices, Inc., 7.75%, 8/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">190</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">209,475</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">KLA-Tencor Corp., 6.90%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">461</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">557,815</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">767,290</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Software &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lawson Software, Inc., 9.38%, 4/01/19 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">140</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">146,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Specialty Retail &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AutoNation, Inc., 6.75%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">445</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">482,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Limited Brands, Inc., 7.00%, 5/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">230</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">255,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">QVC, Inc., 7.38%, 10/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">25</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">27,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sally Holdings LLC, 6.88%, 11/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">140</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">149,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">VF Corp., 5.95%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">417,757</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,332,357</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Tobacco &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Altria Group, Inc., 10.20%, 2/06/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">937</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,501,238</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lorillard Tobacco Co., 3.50%, 8/04/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">628,723</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,129,961</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services &#151; 4.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">America Movil SAB de CV, 2.38%, 9/08/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">585</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">597,002</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Tower Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 1/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">450</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475,171</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.90%, 11/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">295</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">331,598</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%, 5/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">155</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">163,137</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Castle International Corp., 9.00%, 1/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">210</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">232,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Castle Towers LLC (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 1/15/37</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">275</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">303,632</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.11%, 1/15/40</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">342,592</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Digicel Group Ltd., 8.25%, 9/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">125</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">130,312</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nextel Communications, Inc., Series E,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 10/31/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">195</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">195,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SBA Tower Trust, 5.10%, 4/15/42 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,088,207</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sprint Capital Corp., 6.88%, 11/15/28</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">230</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">171,925</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">540</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">594,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">620</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">632,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,257,701</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Corporate Bonds &#151; 108.1%</B></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">120,731,484</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Preferred Securities</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Capital Trusts</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 4.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">530,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">State Street Capital Trust III, 5.46% (b)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">725</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">727,842</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">State Street Capital Trust IV, 1.47%, 6/01/37 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,740</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,527,380</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,785,222</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks &#151; 2.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays Bank Plc (a)(b)(f):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.93%,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">425</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">386,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.43%,(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas, 7.20% (a)(b)(c)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">258,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Agricole SA, 8.38% (a)(b)(c)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">308,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">530</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">426,650</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">M&amp;T Capital Trust II, 8.28%, 6/01/27</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">910</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">928,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">National City Preferred Capital Trust I, 12.00% (b)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">319,320</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,776,920</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 2.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase Capital XXIII, 1.50%, 5/15/47 (b)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,085</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,282,965</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electric Utilities &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">PPL Capital Funding, 6.70%, 3/30/67 (b)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">495,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance &#151; 8.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ace Capital Trust II, 9.70%, 4/01/30</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">683,396</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Allstate Corp., 6.50%, 5/15/67 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">488,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American International Group, Inc., 8.18%, 5/15/68 (b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">225</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240,469</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AXA SA, 6.38% (a)(b)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">795,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chubb Corp., 6.38%, 3/29/67 (b)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">511,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Farmers Exchange Capital, 7.05%, 7/15/28 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">553,446</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Great-West Life &amp; Annuity Insurance Co.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.15%, 5/16/46 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">680,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lincoln National Corp., 7.00%, 5/17/66 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">485,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MetLife, Inc., 6.40%, 12/15/66</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">489,107</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Mitsui Sumitomo Insurance Co., Ltd.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/15/72 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">328,777</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Capital Trusts</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Northwestern Mutual Life Insurance,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.06%, 3/30/40 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,072,333</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reinsurance Group of America, 6.75%, 12/15/65 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">647,712</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swiss Re Capital I LP, 6.85% (a)(b)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">450</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">413,844</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ZFS Finance (USA) (a)(b):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Trust II, 6.45%, 12/15/65</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,764,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Trust IV, 5.88%, 5/09/62</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">146</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">146,182</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,799,891</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multi-Utilities &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dominion Resources Capital Trust I, 7.83%, 12/01/27</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">513,032</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dominion Resources, Inc., 7.50%, 6/30/66 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">532,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,045,532</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">895,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">521,946</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,417,071</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Capital Trusts &#151; 20.2%</B></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">22,602,601</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Preferred Stocks</B></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Shares</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dana Holding Corp., 4.00% (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">125,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc., 7.00% (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">510</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">432,863</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Thrifts &amp; Mortgage Finance &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fannie Mae, Series S, 8.25% (b)(g)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,690</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freddie Mac, Series Z, 8.38% (b)(g)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,440</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services &#151; 2.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Centaur Funding Corp., 9.08% (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,720</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,223,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Preferred Stocks &#151; 3.4%</B></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,788,878</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Trust Preferreds &#151; 0.3%</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">GMAC Capital Trust I, Series 2, 8.13% (b)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,680</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">321,770</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Preferred Securities &#151; 23.9%</B></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,713,249</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"><B></B></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Taxable Municipal Bonds &#151; 0.9%</B></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Par<BR>
(000)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Metropolitan Transportation Authority, RB,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; text-indent: 6pt">6.55%, 11/15/31</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">981,208</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; font-family: Arial, Helvetica, Sans-Serif"><B>US Government Sponsored</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Agency Securities &#151; 0.3%</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Agency Obligations &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fannie Mae, 4.23%, 10/09/19 (c)(h)</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">390</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">314,003</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>US Treasury Obligations</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Par<BR>
     (000)</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 4px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Bonds (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.75%, 8/15/41</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">236</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 266,459</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.13%, 11/15/41</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">740</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">742,312</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Notes, 0.88%, 12/31/16 (c)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">901</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">906,350</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total US Treasury Obligations &#151; 1.7%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,915,121</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Long-Term Investments</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $143,090,707) &#151; 136.0%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">151,909,873</TD>
  </TR>



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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Short-Term Securities</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Shares</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds, TempFund,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Institutional Class, 0.15% (i)(j)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">621,268</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">621,268</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Short-Term Securities</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $621,268) &#151; 0.6%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">621,268</TD>
  </TR>



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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Options Purchased</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Contracts</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Exchange-Traded Put Options &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">S&amp;P 500 Index, Strike Price USD 1,200.00,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Expires 6/16/12</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">67</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,420</TD>
  </TR>

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

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

<B>Amount</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Call Swaptions &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.40% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 5/11/12,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">46</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 4/05/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">37,051</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">37,097</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Put Swaptions &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 4/05/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16,824</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 9/16/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,516</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 10/21/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,984</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 12/12/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,148</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 2/02/17,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">40,277</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">78,749</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Purchased</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $429,102) &#151; 0.1%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">133,266</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments Before Options Written</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $144,141,077) &#151; 136.7%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">152,664,407</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 21 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Options Written</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Contracts</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Call Options &#151; (0.0)%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">S&amp;P 500 Index, Strike Price USD 1,450.00,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Expires 6/15/12, Broker Deutsche Bank AG</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,700</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%"> (12,394</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid; width: 1%">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: #394c87"><B>Over-the-Counter Interest Rate Put Swaptions &#151; (0.0)%</B></FONT></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 6.00% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 2/02/17,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,400</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(35,633</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Written</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Premiums Received &#151; $66,010) &#151; (0.0)%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(48,027</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments, Net of Options Written &#151; 136.7%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">152,616,380</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities in Excess of Other Assets &#151; (36.7)%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(40,980,708</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Net Assets &#151; 100.0%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">111,635,672</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD></TR>                                                                                                                             <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px; border-bottom: Black 1px solid">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px; border-bottom: Black 1px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">&nbsp;</TD></TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD>Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD>Variable rate security. Rate shown is as of report date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(c)</TD><TD STYLE="width: 5pt"></TD><TD>All or a portion of security has been pledged as collateral in connection with open
reverse repurchase agreements.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(d)</TD><TD STYLE="width: 5pt"></TD><TD>Represents a step-down bond that pays an initial coupon rate for the first period
and then a lower coupon rate for the following periods. Rate shown is as of report date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(e)</TD><TD STYLE="width: 5pt"></TD><TD>Represents a payment-in-kind security which may pay interest/dividends in additional
par/shares.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(f)</TD><TD STYLE="width: 5pt"></TD><TD>Security is perpetual in nature and has no stated maturity date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(g)</TD><TD STYLE="width: 5pt"></TD><TD>Non-income producing
security.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(h)</TD><TD STYLE="width: 5pt"></TD><TD>Represents a zero-coupon bond. Rate shown reflects the current yield as of report
date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(i)</TD><TD STYLE="width: 5pt"></TD><TD>Investments in companies considered to be an affiliate of the Fund during the period,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Affiliate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Shares</B><BR>
<B>Held at</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Net</B><BR>
<B>Activity</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Shares</B><BR>
<B>Held at</B><BR>
<B>April 30,</B><BR>
<B>2012</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Income</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Funds, TempFund,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Institutional Class</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">1,362,932</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">(741,664)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">621,268</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$ 926</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(j)</TD><TD STYLE="width: 5pt"></TD><TD>Represents the current yield as of report date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>For Fund compliance purposes, the Fund&rsquo;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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Reverse repurchase agreements outstanding as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Interest</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Trade</B><BR>
<B>Date</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Maturity</B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Net Closing</B><BR>
<B>Amount</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Face</B><BR>
<B>Amount</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(0.50)%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1/17/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 107,168</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 107,325</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1.25)%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/02/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">122,508</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">122,887</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/15/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">950,524</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">949,823</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/22/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,052,581</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,051,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/28/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,509,536</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,508,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/28/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,609,046</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,607,312</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(0.25)%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/07/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">295,987</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">296,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/12/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,354,083</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,353,425</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.32%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">544,737</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">544,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">602,937</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">602,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.17%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/14/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">721,664</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">721,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.30%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/21/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,388,224</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,387,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/21/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">707,282</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">707,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/21/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,194,048</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,191,369</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/22/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">662,870</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">662,613</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/23/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">92,415</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">92,380</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/27/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">332,607</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">332,494</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1.00)%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/03/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">147,195</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">147,309</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.10%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/16/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">174,007</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">174,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/18/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,329,295</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,328,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.34%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/23/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,877,368</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,877,075</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/23/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">374,442</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">374,412</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/23/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">602,297</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">602,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">53,400</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">53,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.12%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">907,779</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">907,758</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.34%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">332,522</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">332,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,351,579</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,351,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.19%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">265,803</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">265,795</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.23%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">311,037</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">311,025</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.37%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,044,126</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,044,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250,015</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.25%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">246,008</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">246,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,263,936</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,263,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,808,960</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,808,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.25%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">324,011</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">324,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%">42,911,997</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 3%">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%">42,901,352</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
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<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><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: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Financial futures contracts purchased as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Contracts</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Issue</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Exchange</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Expiration</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Notional<BR>
Value</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><STRONG>Unrealized<BR>
Appreciation</STRONG></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt; width: 60pt; border-bottom: Black 1px solid">32</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">5-Year US<BR>
Treasury Note&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">Chicago Board<BR>
of Trade</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">June 2012 </TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center">USD&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 15%; padding-right: 20pt; border-bottom: Black 1px solid">3,961,500</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%; border-bottom: Black 1px solid">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%; border-bottom: Black 1px solid">16,939</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%; border-bottom: Black 1px solid"></TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&#149; Financial futures contracts sold as of April 30, 2012 were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Contracts</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><STRONG>Issue</STRONG></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Exchange</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Expiration</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B>Notional</B><BR>
<B>Value</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B>Unrealized</B><BR>
<B>Depreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt; width: 60pt">1</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Euro-Bund</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Eurex</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">June 2012</TD>
    <TD STYLE="text-align: center">EUR&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt; width: 15%">186,761 </TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> (3,312)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt">95</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">10-Year US</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Treasury Note</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">June 2012 </TD>
    <TD STYLE="text-align: center">USD &nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt">&nbsp;12,566,719</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(125,493)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt">10</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">30-Year US</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Treasury Bond</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">June 2012 </TD>
    <TD STYLE="text-align: center">USD&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt">1,428,750</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(11,376)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt">33</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Ultra Long Term </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">US Treasury Bond </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">June 2012 </TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center">USD&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt">5,207,812</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(95,023)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> (235,204)</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Foreign currency exchange contracts as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Currency</B><BR>
<B>Purchased</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Currency</B><BR>
<B>Sold</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Settlement</B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Unrealized</B><BR>
<B>Depreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD &nbsp;&nbsp;326,700</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"> EUR &nbsp;&nbsp;247,500</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Citibank NA</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">7/25/12</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> (1,070)</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Credit default swaps on single-name issues &#151; buy protection outstanding as of
April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Issuer</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Pay</B><BR>
<B>Fixed</B><BR>
<B>Rate</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Expiration</B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Unrealized</B><BR>
<B>Depreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">STMicroelectronics NV</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt; width: 8%">285</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$ </TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%">(4,560)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southwest</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Goldman</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Airlines Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Sachs &amp; Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">280</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(7,023)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southwest</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Royal Bank</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Airlines Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Scotland Plc</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">280</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(8,111)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time Warner Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">1,700</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,527)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Emerson Electric</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Co.</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&amp; Co., Inc.</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">545</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4,329)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px; padding-right: 10pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> (25,550)</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Credit default swaps on single-name issues &#151; sold protection outstanding as of
April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">





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

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Issuer</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Receive</B><BR>

<B>Fixed <BR>
      </B><B>Rate </B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Expiration <BR>
      Date</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Issuer  <BR>
      Credit  <BR>
      Rating</B><B><SUP>1 </SUP></B><B><SUP> </SUP></B></TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid">
     <B> Notional <BR>
        </B>
      <B> Amount <BR>
      </B><B><SUP> </SUP></B><B>(000)</B><B><SUP>2</SUP></B></TD>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Unrealized</B><BR>

<B>Appreciation <BR>
      (Depreciation)
      </B></TD>
  </TR>



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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviva USA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/25/12</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; text-align: center">A </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 8%; padding-right: 10pt">650</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%">(9 </TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DIRECTV</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Holdings</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; text-align: center">BBB </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">1,700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">28,680</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MetLife, Inc.</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/18</TD>
    <TD STYLE="border-bottom: #000000 1px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">A- </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt"> 200</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(4,175</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"> )</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; text-align: center; padding-bottom: 2px">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">24,496</td>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Using S&amp;P&rsquo;s rating.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of agreement.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Credit default swaps on traded indexes - sold protection outstanding as of April 30,
2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">





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

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Index</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Receive <BR>
Fixed</B><BR>

<B>Rate</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Expiration
     <BR>
Date</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Credit
     <BR>
Rating</B><B><SUP>3</SUP></B></TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Notional</B><BR>

<B>Amount</B><BR>

<B>(000)</B><B><SUP>4</SUP></B></TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Unrealized</B><BR>

<B>Appreciation</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dow Jones CDX</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">North America</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">High Yield Index</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Series 18,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Version 1</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">5.00%</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">6/20/17</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">B+ </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 8%; padding-right: 10pt">435</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 6,585</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Using S&amp;P&rsquo;s rating of the underlying securities.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of agreement.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Interest rate swaps outstanding as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Fixed</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Floating</B><BR>
<B>Rate</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Expiration</B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Unrealized</B><BR>
<B>Appreciation</B><BR>
<B>(Depreciation)</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.17%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities (USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/11/17</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt; width: 8%">1,700</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> (7,163)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.18%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/11/17</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">4,900</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(23,018)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.35%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/19/22</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">3,200</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(94,174)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.03%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">UBS AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/18/22</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">1,400</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(207,653)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.05%<SUP>6</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities (USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/02/22</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">1,400</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.05%<SUP>6</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities (USA) LLC</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/02/22</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">900</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">458&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> (331,550)</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Fund pays a fixed interest rate and receives floating rate.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Fund pays a floating interest rate and receives fixed rate.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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:</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Level 1 &#151; unadjusted price quotations in active markets/exchanges for identical
assets and liabilities</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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)</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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&rsquo;s own assumptions used in determining
the fair value of investments and derivative financial instruments)</TD>
</TR></TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">Changes
in valuation techniques may result in transfers into 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 is not necessarily an indication of the risks associated with investing in those securities.
For information about the Fund&rsquo;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-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 23 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->22<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (concluded)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following tables summarize the inputs used as of April 30, 2012 in determining the fair valuation of the Fund&rsquo;s investments and derivative financial instruments:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Level 1</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Level 2</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Level 3</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Long-Term</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Asset-Backed</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 52%; text-align: left; text-indent: 6pt">Securities</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">705,558</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">549,250</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">1,254,808</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Corporate</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">119,879,672</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">851,812</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">120,731,484</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Preferred</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">329,210</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,384,039</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,713,249</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Taxable</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Municipal</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">981,208</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">981,208</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">US Government</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Sponsored</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Agency</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">314,003</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">314,003</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">US Treasury</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Obligations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,915,121</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,915,121</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Short-Term</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Securities</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">621,268</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">621,268</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Total</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">950,478</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">150,179,601</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">1,401,062</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">152,531,141</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1px solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1px solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; text-align: center">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center"><B>Level 1</B></TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; text-align: center">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center"><B>Level 2</B></TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; text-align: center">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center"><B>Level 3</B></TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; text-align: center">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center"><B>Total</B></TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Derivative Financial Instruments<SUP>1</SUP></TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Equity</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">17,420</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">17,420</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Interest rate</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,939</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">116,304</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">133,243</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Credit</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">35,265</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">35,265</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Liabilities:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Equity</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(12,394</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(12,394</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Interest rate</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(235,204</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(367,641</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(602,845</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Foreign</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">currency</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">exchange</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,070</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,070</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Credit</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 12pt">contracts</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(29,725</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(9</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(29,734</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Total</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(200,845</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(259,261</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(9</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(460,115</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Asset-Backed<BR> Securities</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Corporate<BR> Bonds</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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 STYLE="vertical-align: bottom">
    <TD STYLE="width: 52%; text-align: left">Balance, as of October 31, 2011</TD><TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">503,750</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">858,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">1,361,750</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,695</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,695</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34,805</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6,188</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28,617</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers in<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Transfers out<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Balance, as of April 30, 2012</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">549,250</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">851,812</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">1,401,062</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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 April 30, 2012 was $886,618.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The Fund&rsquo;s policy is to recognize transfers in and transfers out as of the beginning
of the period of the event or the change in circumstances that caused the transfer.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Credit<BR> Contracts</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets/Liabilities:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 80%; text-align: left">Balance, as of October 31, 2011</TD><TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 13%; text-align: right">1,175</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,105</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation<SUP>4</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,184</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Issuances<SUP>5</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Settlements<SUP>6</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,105</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers in<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Transfers out<SUP>3</SUP></TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Balance, as of April 30, 2012</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(9</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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
April 30, 2012 was $(1,184).</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Issuances represent upfront cash received on certain derivative financial instruments.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Settlements represent periodic contractual cash flows and/or cash flows to terminate
certain derivative financial instruments.</TD>
</TR></TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt">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 period in relation to net assets.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 24 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">April 30, 2012 (Unaudited)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed Securities</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">321 Henderson Receivables I LLC, Series 2012-1A,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Class A, 4.21%, 2/16/65 (a)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 1,034</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,064,160</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Atrium CDO Corp., Series 5A, Class A4,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.88%, 7/20/20 (a)(b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,239,250</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SLM Student Loan Trust, Series 2004-B, Class A2,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.67%, 6/15/21 (b)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,968</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,887,501</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Asset-Backed Securities &#151; 1.1%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,190,911</TD>
  </TR>

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

    <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Aerospace &amp; Defense &#151; 1.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BE Aerospace, Inc., 8.50%, 7/01/18</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,768,750</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Huntington Ingalls Industries, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 3/15/18</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">610</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">645,075</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 3/15/21</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">635,250</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kratos Defense &amp; Security Solutions, Inc.,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 6/01/17</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,014</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,090,050</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,139,125</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Airlines &#151; 0.7%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust, Series 2011-2,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Class A, 8.63%, 4/15/23</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">553</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">583,597</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Continental Airlines Pass-Through Certificates,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Series 2009-2, Class B, 9.25%, 5/10/17</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,362</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,488,112</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,013</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,066,472</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,138,181</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.8%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delphi Corp., 6.13%, 5/15/21 (a)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">570</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">607,050</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Icahn Enterprises LP:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 1/15/18</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,270</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,426,062</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 1/15/18</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">610</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">642,025</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,675,137</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Beverages &#151; 0.5%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Constellation Brands, Inc., 7.25%, 5/15/17</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,970</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,226,100</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Building Products &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Building Materials Corp. of America (a):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 2/15/20</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">375</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400,313</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 5/01/21</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">940</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">978,775</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,379,088</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 5.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,633,705</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">E*Trade Financial Corp., 12.50%, 11/30/17</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,865</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,172,725</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Goldman Sachs Group, Inc. (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 7/27/21</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,189,049</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 1/24/22</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,415</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,565,923</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/01/41</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,450</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,521,836</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 1/25/21</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,915</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,865,804</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 7/28/21</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,285</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,256,261</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Murray Street Investment Trust I, 4.65%, 3/09/17 (d)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">603,602</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS AG (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.25%, 1/28/14</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,627</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,635,443</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 7/15/16</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,960,885</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">25,405,233</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Chemicals &#151; 1.4%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ashland, Inc., 9.13%, 6/01/17</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">45</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">49,950</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Celanese US Holdings LLC, 5.88%, 6/15/21</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,545</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,657,013</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hexion US Finance Corp., 6.63%, 4/15/20 (a)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">865</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">903,925</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ineos Finance Plc (a):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.38%, 2/15/19</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">343,200</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 5/01/20</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">730</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">750,075</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LyondellBasell Industries NV, 5.75%, 4/15/24 (a)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,885</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,946,262</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Solutia, Inc., 7.88%, 3/15/20</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">860</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,004,050</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,654,475</TD>
  </TR>
</TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks &#151; 5.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Amsouth Bank, Series AI, 4.85%, 4/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,050</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,065,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Asciano Finance Ltd., 5.00%, 4/07/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">936,881</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Associated Banc-Corp, 5.13%, 3/28/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,329,103</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Branch Banking &amp; Trust Co. (b)(c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.79%, 9/13/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,036,798</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.79%, 5/23/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">629,524</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,570</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,573,925</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,253,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,190</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,225,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 2/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,040</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,068,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">City National Corp., 5.25%, 9/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,511,328</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Discover Bank, 8.70%, 11/18/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,513,566</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HSBC Finance Corp., 6.68%, 1/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,646,979</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Regions Financial Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.88%, 4/26/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,600,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 6/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,899,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SVB Financial Group, 5.38%, 9/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,530,609</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,821,638</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Services &amp; Supplies &#151; 4.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviation Capital Group Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 10/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,512,034</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 4/06/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,300,355</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Casella Waste Systems, Inc., 7.75%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">721</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">710,185</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Clean Harbors, Inc., 7.63%, 8/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,314</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,379,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corrections Corp. of America, 7.75%, 6/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,375</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,661,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Covanta Holding Corp., 6.38%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">665</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">684,028</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Iron Mountain, Inc., 7.75%, 10/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">390</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">425,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Mobile Mini, Inc., 7.88%, 12/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">275</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">294,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,967,527</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Communications Equipment &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc., 9.75%, 11/01/15 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">892,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Brocade Communications Systems, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 1/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,965</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,239,262</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hughes Satellite Systems Corp., 6.50%, 6/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">420</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">449,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,580,787</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Construction Materials &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">HD Supply, Inc., 8.13%, 4/15/19 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">966,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Consumer Finance &#151; 5.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Express Credit Corp., 2.75%, 9/15/15 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,069,971</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital One Bank USA NA, 8.80%, 7/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,199,146</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Daimler Finance North America LLC, 2.63%, 9/15/16 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,425</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,541,505</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ford Motor Credit Co. LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 4/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,580</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,876,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 8/02/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">361,628</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,815</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,951,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SLM Corp., 6.25%, 1/25/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,870</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,016,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Toll Brothers Finance Corp., 5.88%, 2/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">410</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">424,315</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">24,440,490</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Containers &amp; Packaging &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ardagh Packaging Finance Plc (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">216,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.13%, 10/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">235</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">254,388</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ball Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 9/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,916,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 9/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,442,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Americas LLC, 6.25%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">897,187</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sealed Air Corp., 8.38%, 9/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">130</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">147,550</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,873,925</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 6.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 2/11/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,792,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.30%, 2/12/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,230</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,349,925</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 11/01/31</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">840</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">961,800</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 25 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->24<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bank of America Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.75%, 7/12/16 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,395</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,389,001</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.30%, 3/15/17 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,640</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,796,327</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 5/13/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">50</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">49,766</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Citigroup, Inc. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 8/12/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,401,913</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.59%, 12/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">975</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,021,216</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.45%, 1/10/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,680</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,799,536</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DPL, Inc., 7.25%, 10/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,080</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,198,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">General Motors Financial Co., Inc., 6.75%, 6/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">532,515</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ING Bank NV, 5.00%, 6/09/21 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,393,759</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intesa Sanpaolo SpA:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.38%, 12/21/12</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,450,468</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/24/21 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">431,565</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Moody&rsquo;s Corp., 6.06%, 9/07/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,309,798</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">245</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">256,025</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 8/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">870</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">939,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.88%, 8/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">305</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">317,963</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">215</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">221,450</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">WMG Acquisition Corp., 9.50%, 6/15/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">205</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">223,963</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">30,838,140</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Telecommunication Services &#151; 3.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AT&amp;T, Inc., 6.30%, 1/15/38 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,793,912</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 7/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,149</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,235,597</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.63%, 7/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">680,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Telecom Italia Capital SA, 6.18%, 6/18/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">975</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,006,493</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Telefonica Emisiones SAU, 5.46%, 2/16/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,360</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,278,176</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Verizon Communications, Inc. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.95%, 3/28/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,735,242</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.35%, 4/01/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,375</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,257,911</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Windstream Corp., 7.88%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">730</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">806,650</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,794,856</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electric Utilities &#151; 1.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CMS Energy Corp., 5.05%, 3/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,145,140</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Great Plains Energy, Inc., 5.29%, 6/15/22 (d)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,803,704</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Progress Energy, Inc., 7.00%, 10/30/31 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,221,348</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,170,192</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Jabil Circuit, Inc., 8.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">932,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">NXP BV, 3.22%, 10/15/13 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">400,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,332,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Energy Equipment &amp; Services &#151; 2.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Atwood Oceanics, Inc., 6.50%, 2/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">110</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">115,775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Transfer Partners LP, 5.20%, 2/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,197,685</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ensco Plc, 4.70%, 3/15/21 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,965</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,144,122</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Frac Tech Services LLC, 7.13%, 11/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,085</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,120,262</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">285</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">284,288</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Key Energy Services, Inc., 6.75%, 3/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">745</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">767,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., 6.50%, 3/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">955</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,005,138</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Oil States International, Inc., 6.50%, 6/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">505</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">534,038</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Peabody Energy Corp., 6.25%, 11/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,555</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,574,437</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Transocean, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,291,978</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 12/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,375</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,610,115</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,645,188</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food &amp; Staples Retailing &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Wal-Mart Stores, Inc. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 9/01/35</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,871,985</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.20%, 4/15/38</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">875</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,145,119</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,017,104</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food Products &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kraft Foods, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 8/11/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,665</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 2,020,319</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.13%, 8/23/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,660</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,007,772</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Smithfield Foods, Inc., 10.00%, 7/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">374</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">437,580</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,465,671</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Gas Utilities &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">El Paso Natural Gas Co., 8.63%, 1/15/22</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">695</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">879,631</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Equipment &amp; Supplies &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,579,062</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Teleflex, Inc., 6.88%, 6/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">490</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">524,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,103,362</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Providers &amp; Services &#151; 3.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aetna, Inc., 6.75%, 12/15/37 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,206,986</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviv Healthcare Properties LP, 7.75%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">460</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">478,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HCA, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">269,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,380</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,546,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.25%, 9/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,435</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,804,263</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">INC Research LLC, 11.50%, 7/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">695</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">682,838</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc., 10.00%, 8/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">270</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">242,075</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,530</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,767,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.88%, 7/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,261,406</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,554,983</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,813,951</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Technology &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Amgen, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.15%, 11/15/41 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,208</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,385,355</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.65%, 6/15/42</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">42</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">46,723</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,432,078</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Household Durables &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Standard Pacific Corp., 8.38%, 1/15/21</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">890</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">938,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Independent Power Producers &amp; Energy Traders &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AES Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.75%, 4/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">985</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,162,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 7/01/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">135</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150,188</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Calpine Corp., 7.25%, 10/15/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">440</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">469,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co. LLC,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 12/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,880</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,075,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Laredo Petroleum, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.50%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">295</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">329,662</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/01/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">265</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">274,275</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">QEP Resources, Inc., 5.38%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">569</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">569,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,030,175</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance &#151; 6.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American International Group, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.80%, 3/22/17 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,549,227</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.25%, 8/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">757,269</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.40%, 12/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,590</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,975,027</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aon Corp., 5.00%, 9/30/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,111,092</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,720,516</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,022,712</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Genworth Financial, Inc., 7.63%, 9/24/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">970</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">957,776</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ING Verzekeringen NV, 2.69%, 6/21/21 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">430</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">532,194</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Manulife Financial Corp., 4.90%, 9/17/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,911,420</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">430</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">370,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Principal Financial Group, Inc., 8.88%, 5/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">980</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,269,309</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Prudential Financial, Inc., 6.63%, 12/01/37 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,942,871</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">XL Group Ltd., 5.75%, 10/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,430</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,793,282</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">29,913,570</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 26 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>IT Services &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Epicor Software Corp., 8.63%, 5/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">720</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 745,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fidelity National Information Services, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 3/15/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 6/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">935</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">956,037</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.25%, 1/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">85</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">83,725</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">12.63%, 1/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">710</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">711,775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SunGard Data Systems, Inc., 7.38%, 11/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">730</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">779,275</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,596,012</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Life Sciences Tools &amp; Services &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,226,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Life Technologies Corp., 6.00%, 3/01/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,883,613</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,110,238</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Machinery &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ingersoll-Rand Global Holding Co., Ltd., 9.50%, 4/15/14</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,907,766</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UR Financing Escrow Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 7/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">235</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">242,638</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">630,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.63%, 4/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">548</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">579,510</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,359,914</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Media &#151; 8.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., 7.75%, 7/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">395</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">441,412</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CCH II LLC, 13.50%, 11/30/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,317</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,618,210</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Comcast Corp., 6.30%, 11/15/17 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,124,258</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cox Communications, Inc., 8.38%, 3/01/39 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,881,669</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CSC Holdings LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 4/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">680</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">749,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.63%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,362,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DIRECTV Holdings LLC, 5.00%, 3/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,815,884</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DISH DBS Corp., 7.00%, 10/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,874,687</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, 7.25%, 4/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">190</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">198,075</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intelsat Luxemburg SA:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">11.25%, 2/04/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">620</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">643,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">11.50%, 2/04/17 (e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">417,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Interpublic Group of Cos., Inc., 10.00%, 7/15/17</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,338,031</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,040</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,110,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">News America, Inc., 6.15%, 3/01/37 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,665,146</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time Warner Cable, Inc., 6.75%, 6/15/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,050</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,883,470</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time Warner, Inc., 7.70%, 5/01/32</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,437,135</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt; vertical-align: middle">Germany GmbH), 8.13%, 12/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,030</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,104,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Virgin Media Secured Finance Plc, 6.50%, 1/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,915,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">41,580,552</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Metals &amp; Mining &#151; 2.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Alcoa, Inc., 5.40%, 4/15/21 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">580</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">609,585</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barrick Gold Corp., 2.90%, 5/30/16 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,205,908</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barrick North America Finance LLC, 5.70%, 5/30/41 (c)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,460,015</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan Copper &amp; Gold, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.55%, 3/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,383,316</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan Corp., 7.13%, 11/01/27</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,578,687</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">New Gold, Inc., 7.00%, 4/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">130</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">132,925</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc., 8.75%, 12/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">975</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,074,938</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Teck Resources Ltd., 10.75%, 5/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">874</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,081,575</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,526,949</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multi-Utilities &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CenterPoint Energy, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.95%, 2/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,601,212</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,986,678</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,587,890</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multiline Retail &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">JC Penney Co., Inc., 5.65%, 6/01/20 (c)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,235</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,137,950</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Par</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>(000)</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 13.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Anadarko Petroleum Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.95%, 9/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 10%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">994</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,149,207</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 9/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">27,334</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Berry Petroleum Co., 6.38%, 9/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">425</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">442,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BP Capital Markets Plc (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.88%, 3/10/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,606,585</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.20%, 3/11/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,875</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,997,512</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Buckeye Partners LP, 4.88%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,033,005</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chesapeake Midstream Partners LP:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 4/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">595</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">565,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.13%, 7/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">457,188</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">40</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">37,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Concho Resources, Inc., 5.50%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">420</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">420,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CONSOL Energy, Inc., 6.38%, 3/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">450</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">423,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Copano Energy LLC, 7.13%, 4/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">560</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">590,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DCP Midstream LLC, 4.75%, 9/30/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,295,840</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">El Paso Pipeline Partners Operating Co. LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 4/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,530</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,757,503</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 10/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">525</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">554,635</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enbridge Energy Partners LP, 9.88%, 3/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,100</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,832,818</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,025</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,058,312</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enterprise Products Operating LLC, 6.65%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,085,373</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Everest Acquisition LLC/Everest Acquisition</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-left: 6pt">Finance, Inc., 6.88%, 5/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">340</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">357,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Forest Oil Corp., 8.50%, 2/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,240</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,333,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kinder Morgan Energy Partners LP, 6.85%, 2/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,079,438</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kodiak Oil &amp; Gas Corp., 8.13%, 12/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">230</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">243,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Linn Energy LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 11/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,125</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,108,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.75%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">450</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">474,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Marathon Petroleum Corp., 3.50%, 3/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,375</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,442,261</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MarkWest Energy Partners LP, 6.25%, 6/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">530</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">557,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Newfield Exploration Co., 6.88%, 2/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">595</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">632,188</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nexen, Inc., 6.40%, 5/15/37</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,380</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,531,822</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Oasis Petroleum, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.25%, 2/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">340</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">360,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">305</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">311,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">OGX Petroleo e Gas Participacoes SA,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-left: 6pt">8.50%, 6/01/18 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,600</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,660,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ONEOK Partners LP, 8.63%, 3/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,446,245</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petrobras International Finance Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.88%, 1/27/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,725</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,899,457</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.38%, 1/27/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,409,946</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petrohawk Energy Corp., 10.50%, 8/01/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">615</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">682,650</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">445</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">460,575</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Phillips 66, 2.95%, 5/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,060</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,087,689</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pioneer Natural Resources Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.65%, 3/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">737,403</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">490</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">576,844</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Plains Exploration &amp; Production Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 3/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">405</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">445,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 2/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">55</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">57,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Precision Drilling Corp., 6.50%, 12/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">425</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">442,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Premier Oil Plc, 5.00%, 6/09/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,510,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Range Resources Corp., 6.75%, 8/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">855</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">927,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ruby Pipeline LLC, 6.00%, 4/01/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,975</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,046,192</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Samson Investment Co., 9.75%, 2/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">610</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">636,687</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SandRidge Energy, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 3/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">202,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 10/15/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">220</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">228,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SM Energy Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.63%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">220</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">232,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">345</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">363,975</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Targa Resources Partners LP, 6.88%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">495</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">517,275</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tennessee Gas Pipeline Co., 8.00%, 2/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">831</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">968,693</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Western Gas Partners LP, 5.38%, 6/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,525</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,663,851</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Williams Cos., Inc., 8.75%, 3/15/32</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">711</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">960,651</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">64,929,029</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 27 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->26<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Paper &amp; Forest Products &#151; 2.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Boise Paper Holdings LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">290</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 322,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 4/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">645</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">711,112</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,040</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,254,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">International Paper Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 8/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,221,257</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.30%, 11/15/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,207,004</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-left: 6pt">8.00%, 6/01/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">330</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">333,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,049,498</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Pharmaceuticals &#151; 2.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">436,821</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Merck &amp; Co., Inc., 6.50%, 12/01/33 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,070</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,854,340</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pfizer, Inc., 7.20%, 3/15/39 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,425</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,542,243</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Roche Holdings, Inc., 7.00%, 3/01/39 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,590,254</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-left: 6pt">6.50%, 7/15/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">259,062</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,682,720</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Investment Trusts (REITs) &#151; 2.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,048,217</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Developers Diversified Realty Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.75%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">645</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">668,268</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 9/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">930,738</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ERP Operating LP, 5.75%, 6/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,405</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,919,036</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HCP, Inc., 5.38%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,025</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,129,262</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UDR, Inc., 4.25%, 6/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,567,353</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,135</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,170,146</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,433,020</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Management &amp; Development &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Realogy Corp. (a)(c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">570</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">558,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.63%, 1/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">620</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">643,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Shea Homes LP, 8.63%, 5/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">480</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">500,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,702,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Road &amp; Rail &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avis Budget Car Rental LLC, 8.25%, 1/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">110</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">115,225</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Florida East Coast Railway Corp., 8.13%, 2/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">205,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Hertz Corp., 6.75%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">338</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">352,787</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,796,430</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,469,942</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Advanced Micro Devices, Inc., 7.75%, 8/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">854,438</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">KLA-Tencor Corp., 6.90%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,928</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,332,901</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,187,339</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Software &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lawson Software, Inc., 9.38%, 4/01/19 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">960</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,003,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Specialty Retail &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AutoNation, Inc., 6.75%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,965</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,132,025</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Limited Brands, Inc., 7.00%, 5/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">980</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,087,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">QVC, Inc., 7.38%, 10/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">105</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">114,975</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sally Holdings LLC, 6.88%, 11/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">595</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">633,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">VF Corp., 5.95%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,760,547</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,729,022</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Tobacco &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Altria Group, Inc., 10.20%, 2/06/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,929</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,294,946</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lorillard Tobacco Co., 3.50%, 8/04/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,450</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,567,286</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,862,232</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services &#151; 4.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">America Movil SAB de CV, 2.38%, 9/08/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,729,880</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Tower Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 1/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,925</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,032,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.90%, 11/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,295</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,455,660</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%, 5/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">670</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 705,175</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Castle International Corp., 9.00%, 1/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">890</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">983,450</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Castle Towers LLC (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 1/15/37</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,297,335</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.11%, 1/15/40</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,484,564</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nextel Communications, Inc., Series E, 6.88%, 10/31/13</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">840</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">840,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SBA Tower Trust, 5.10%, 4/15/42 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,597,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sprint Capital Corp., 6.88%, 11/15/28</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">747,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,860</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,048,325</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,670</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,723,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">21,645,639</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Corporate Bonds &#151; 105.4%</B></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">502,236,345</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Preferred Securities</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Capital Trusts</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 4.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,650,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">State Street Capital Trust III, 5.46% (b)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,920</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,931,446</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">State Street Capital Trust IV, 1.47%, 6/01/37 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,235</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,569,995</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,151,441</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks &#151; 5.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays Bank Plc, 7.43% (a)(b)(c)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas, 7.20% (a)(b)(c)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,290,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Agricole SA, 8.38% (a)(b)(c)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,298,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,240</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,803,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HSBC Capital Funding LP/Jersey Channel Islands,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-left: 6pt">10.18% (a)(b)(c)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,835</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,285,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">M&amp;T Capital Trust II, 8.28%, 6/01/27</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,630</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,702,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">National City Preferred Capital Trust I, 12.00% (b)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,170,840</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">NationsBank Capital Trust III, 1.02%, 1/15/27 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,470</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,111,848</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,311,988</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase Capital XXIII, 1.50%, 5/15/47 (b)(c)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,775</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,493,684</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electric Utilities &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">PPL Capital Funding, 6.70%, 3/30/67 (b)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,970,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance &#151; 9.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ace Capital Trust II, 9.70%, 4/01/30</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,416,980</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Allstate Corp., 6.50%, 5/15/67 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,887,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American General Capital II, 8.50%, 7/01/30</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">109,301</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American International Group, Inc., 8.18%, 5/15/68 (b)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">961,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aon Corp., 8.21%, 1/01/27</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,920,820</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AXA SA, 6.38% (a)(b)(f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,385,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bank One Capital III, 8.75%, 9/01/30</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,790,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chubb Corp., 6.38%, 3/29/67 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,047,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Farmers Exchange Capital, 7.05%, 7/15/28 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,767,230</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,925</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,978,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lincoln National Corp., 7.00%, 5/17/66 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,249,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MetLife, Inc., 6.40%, 12/15/66</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,252,561</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Mitsui Sumitomo Insurance Co., Ltd.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-left: 6pt">7.00%, 3/15/72 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,420</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,458,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Northwestern Mutual Life Insurance,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-left: 6pt">6.06%, 3/30/40 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,527,628</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Principal Life Insurance Co., 8.00%, 3/01/44 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,852,520</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reinsurance Group of America, 6.75%, 12/15/65 (b)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,775,909</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swiss Re Solutions Holding Corp., 7.75%, 6/15/30 (c)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,482,990</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ZFS Finance (USA), Trust IV, 5.88%, 5/09/62 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">379</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">379,474</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">47,243,738</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multi-Utilities &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dominion Resources Capital Trust I, 7.83%, 12/01/27</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,565,160</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dominion Resources, Inc., 7.50%, 6/30/66 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,153,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,718,660</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 28 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Capital Trusts</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 1.4%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$ </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%">2,170,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,175,568</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,345,568</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Road &amp; Rail &#151; 0.8%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNSF Funding Trust I, 6.61%, 12/15/55 (b)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,750</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,904,688</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Capital Trusts &#151; 25.0%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">119,139,767</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Preferred Stocks</B> <B>Shares</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dana Holding Corp., 4.00% (a)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">501,500</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.4%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc., 7.00% (a)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,190</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,858,762</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Thrifts &amp; Mortgage Finance &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fannie Mae, Series S, 8.25% (b)(g)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,220</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freddie Mac, Series Z, 8.38% (b)(g)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,500</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">34,720</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services &#151; 0.6%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Centaur Funding Corp., 9.05% (a)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,423</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,871,255</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Preferred Stocks &#151; 1.1%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,266,237</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Trust Preferreds &#151; 0.3%</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">GMAC Capital Trust I, Series 2, 8.13% (b)</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">57,110</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,343,295</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Preferred Securities &#151; 26.4%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">125,749,299</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Taxable Municipal Bonds &#151; 0.9%</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: left">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Metropolitan Transportation Authority, RB, Build America</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-left: 6pt">Bonds, 6.55%, 11/15/31</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,450</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,231,460</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>US Government Sponsored Agency Securities &#151; 0.3%</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Agency Obligations &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fannie Mae, 4.23%, 10/09/19 (c)(h)</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,670</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,344,575</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>US Treasury Obligations</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Bonds (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.75%, 8/15/41</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,470</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,659,721</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.13%, 11/15/41</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,465</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,472,703</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Notes:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.88%, 12/31/16 (c)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,847</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,869,843</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.00%, 2/15/22</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">145</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">146,088</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total US Treasury Obligations &#151; 1.7%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,148,355</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Long-Term Investments</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $613,809,974) &#151; 135.8%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">646,900,945</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Short-Term Securities</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds, TempFund,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Institutional Class, 0.15% (i)(j)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,908,035</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%"> 1,908,035</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Short-Term Securities</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $1,908,035) &#151; 0.4%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,908,035</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>



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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Options Purchased</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Contracts</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Exchange-Traded Put Options &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">S&amp;P 500 Index, Strike Price USD 1,200.00,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Expires 6/16/12</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">285</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">74,100</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>





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

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

<B>Amount</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Call Swaptions &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.40% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 5/11/12,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">196</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 4/05/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">157,467</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">157,663</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Put Swaptions &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 4/05/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">71,501</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 9/16/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,564</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 10/21/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">30,708</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 12/12/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">31,771</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 2/02/17,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">161,107</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">321,651</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Purchased</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $1,797,967) &#151; 0.1%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">553,414</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments Before Options Written</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $617,515,976) &#151; 136.3%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">649,362,394</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>



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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Options Written</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Contracts</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Call Options &#151; (0.0)%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">S&amp;P 500 Index, Strike Price USD 1,450.00,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Expires 6/15/12, Broker Deutsche Bank AG</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,100</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(51,763</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>





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

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

<B>Amount</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Put Swaptions &#151; (0.1)%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 6.00% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 2/02/17,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,600</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(142,531</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Written</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Premiums Received &#151; $267,430) &#151; (0.1)%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(194,294</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments, Net of Options Written &#151; 136.2%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">649,168,100</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities in Excess of Other Assets &#151; (36.2)%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(172,641,066</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Net Assets &#151; 100.0%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">476,527,034</TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 29 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->28<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></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: 16pt; text-align: right">(a)</TD><TD STYLE="width: 4pt"></TD><TD>Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.</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: 16pt; text-align: right">(b)</TD><TD STYLE="width: 4pt"></TD><TD>Variable rate security. Rate shown is as of report date.</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: 16pt; text-align: right">(c)</TD><TD STYLE="width: 4pt"></TD><TD>All or a portion of security has been pledged as collateral in connection with open
reverse repurchase agreements.</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: 16pt; text-align: right">(d)</TD><TD STYLE="width: 4pt"></TD><TD>Represents a step-down bond that pays an initial coupon rate for the first period
and then a lower coupon rate for the following periods. Rate shown is as of report date.</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: 16pt; text-align: right">(e)</TD><TD STYLE="width: 4pt"></TD><TD>Represents a payment-in-kind security which may pay interest/dividends in additional
par/shares.</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: 16pt; text-align: right">(f)</TD><TD STYLE="width: 4pt"></TD><TD>Security is perpetual in nature and has no stated maturity date.</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: 16pt; text-align: right">(g)</TD><TD STYLE="width: 4pt"></TD><TD>Non-income producing
security.</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: 16pt; text-align: right">(h)</TD><TD STYLE="width: 4pt"></TD><TD>Represents a zero-coupon bond. Rate shown reflects the current yield as of report
date.</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: 16pt; text-align: right">(i)</TD><TD STYLE="width: 4pt"></TD><TD>Investments in companies considered to be an affiliate of the Fund during the period,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Affiliate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Shares</B><BR>
<B>Held at</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Net</B><BR>
<B>Activity</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Shares</B><BR>
<B>Held at</B><BR>
<B>April 30,</B><BR>
<B>2012</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Income</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Funds, TempFund,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Institutional Class</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">405,708</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">1,502,327</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">1,908,035</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$ 2,499</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: 16pt; text-align: right">(j)</TD><TD STYLE="width: 4pt"></TD><TD>Represents the current yield as of report date.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>For Fund compliance purposes, the Fund&rsquo;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.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Reverse repurchase agreements outstanding as of April 30, 2012 were as follows:</TD>
</TR></TABLE>

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

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


    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid">
<B>Counterparty</B>
    </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Interest </B><B><BR>
      Rate</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Trade </B><B><BR>
      Date</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><BR>

<B>Maturity<BR>
      Date</B></TD>
    <TD COLSPAN="2" STYLE="text-indent: 4px; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Net Closing</B><BR>

<B>Amount</B></TD>
    <TD STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Face <BR>
      Amount</b></TD>
  </TR>
  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 40%">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 11%">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 11%">1/11/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 11%">Open</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 3,803,600</TD>
    <TD STYLE="width: 5%">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 3,799,500</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1/12/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,174,306</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,170,625</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(0.50)%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1/17/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">452,489</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">453,150</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1/25/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,941,548</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,931,750</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/02/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">586,307</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">585,800</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1.25)%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/02/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">523,826</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">525,450</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/14/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,125,977</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,125,062</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/15/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,179,526</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,176,440</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse
    Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/22/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,444,229</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,441,250</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/28/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,955,668</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,948,387</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse
    Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(0.25)%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/07/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,691,354</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,692,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/12/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,102,161</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,101,625</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,027,394</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,025,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.37%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,482,884</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,480,125</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,483,034</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,476,062</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.32%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,327,513</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,326,500</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.17%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/14/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,403,920</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,403,375</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse
    Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/21/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">21,023,614</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">21,014,519</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse
    Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/21/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,305,389</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,301,681</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays
    Capital, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/22/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,814,482</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,813,388</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse
    Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/22/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,406,797</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,406,250</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/23/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">438,971</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">438,805</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/27/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,279,136</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,277,000</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse
    Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/27/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,562,451</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,561,920</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/27/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,766,891</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,765,500</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays
    Capital, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1.00)%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/03/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">637,844</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">638,341</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.10%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/16/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">783,033</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">783,000</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays
    Capital, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/18/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">30,370,748</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">30,366,910</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse
    Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/23/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,690,260</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,690,050</TD>
  </TR>


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

    <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays
    Capital, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,740,712</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,740,594</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.12%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,875,943</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,875,853</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.00%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">235,850</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">235,850</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.34%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,325,338</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,325,250</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.23%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,329,788</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,329,737</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.19%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,655,640</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,655,587</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.34%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,396,737</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,396,376</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,984,194</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,984,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.37%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,364,224</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,364,000</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.25%</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Open</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,911,601</TD>
    <TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,911,500</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">179,605,379</TD>
    <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">179,538,212</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 30 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->29<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Financial futures contracts purchased as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Contracts </B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Issue</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Exchange</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Expiration</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Notional <BR>
Value</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid; width: 15%"><B> Unrealized<BR>
Appreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">138 </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">5-Year US</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Chicago Board</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Treasury Note</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">of Trade</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">June 2012 </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">17,083,969</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$ 73,074</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Financial futures contracts sold as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Contracts</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B> Issue</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Exchange</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Expiration</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Notional <BR>
Value</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B> Unrealized<BR>
Depreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp; &nbsp;&nbsp;1</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Euro-Bund</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Eurex</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">June 2012</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">EUR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">186,761</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 14%">(3,312)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">381</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">10-Year US</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Treasury Note</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">of Trade</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">June 2012</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">50,399,156</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">(481,062)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;&nbsp;45</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">30-Year US</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Treasury Bond</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">of Trade</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">June 2012</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">6,429,375</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">(51,193)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">131</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Ultra Long Term </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">US Treasury Bond </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">of Trade</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">June 2012</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">20,673,438</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">(434,979)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B>Total</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom"> (970,546)</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Foreign currency exchange contracts as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Currency</B><BR>
<B>Purchased</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Currency</B><BR>
<B>Sold</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Settlement <BR>
Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B> Unrealized<BR>
Depreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD&nbsp;&nbsp;725,340</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">EUR &nbsp;&nbsp;549,500</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Citibank NA</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">7/25/12 </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%">(2,375)</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Credit default swaps on single-name issues &#151; buy protection outstanding as of
April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Issuer</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Pay</B><BR>
<B>Fixed</B><BR>
<B>Rate</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Expiration</B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized</B><BR>
<B>Depreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">STMicroelectron-</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">ics NV</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">EUR</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">1,215</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$ </TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%">(19,433)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southwest</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Goldman</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Airlines Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Sachs &amp; Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1,185</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(29,721)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southwest</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Royal Bank</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Airlines Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Scotland Plc</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1,185</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(34,328)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Warner Inc.</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">7,500</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(6,735)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Emerson</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Electric Co.</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&amp; Co., Inc.</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2,330</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(18,508)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> (108,725)</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Credit default swaps on single-name issues &#151; sold protection outstanding as of
April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; vertical-align: bottom"><B>Issuer</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Receive<BR>
Fixed</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Counterparty/</B><BR>
<B>Exchange</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Expiration</B><BR>
<B>Date</B></TD>
    <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Issuer</B><BR>
<B>Credit</B><BR>
<B>Rating<SUP>1</sup></b></TD>
    <TD COLSPAN="2" STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)<SUP>2</sup></b></TD>
    <TD COLSPAN="2" STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized</B><BR>
<B>Appreciation</B><BR>
<B>(Depreciation)</b></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviva USA</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 12%">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 12%">Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 12%">5/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 12%">A</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 6%">USD</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6; vertical-align: bottom; width: 6%">2,775</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%"> (36)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DIRECTV</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Holdings</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">BBB</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6; vertical-align: bottom">7,500</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 4">126,530</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MetLife, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/18</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">A-</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6; vertical-align: bottom">&nbsp;&nbsp;&nbsp;900</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(18,790)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 4"> 107,704</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Using S&amp;P&rsquo;s rating.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 4pt"></TD><TD>The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of agreement.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Credit default swaps on traded indexes &#151; sold protection outstanding as of April
30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Index</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Receive<BR>
     Fixed<BR>
     Rate</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Counter- <BR>party</B></TD>
    <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Expiration<BR>
    Date</B></TD>
    <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Credit<BR>
    Rating<SUP>3</SUP></B></TD>
    <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Notional<BR>
    Amount<BR>
    (000)<SUP>4</SUP></B></TD>
    <TD COLSPAN="2" STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized<BR>
    Appreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dow Jones</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">CDX North</TD>
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">America High</TD>
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Yield Index</TD>
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Series 18,</TD>
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Securities</TD>
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Version 1 </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 12%">5.00%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 12%">(USA) LLC </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 12%">6/20/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 12%">B+ </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 12%">USD 1,860 </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%"> 28,155</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Using S&amp;P&rsquo;s rating of the underlying securities.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 4pt"></TD><TD>The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of agreement.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Interest rate swaps outstanding as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Fixed</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Floating</B><BR>
<B>Rate</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Expiration</B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Notional<BR> Amount<BR> (000)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Unrealized<BR>
Appreciation<BR>
(Depreciation)</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.17%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 15%">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 15%">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 15%">4/11/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 8%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; width: 8%">7,500</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$ </TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%">(31,603)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.18%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/11/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">20,700</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(97,238)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.35%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/19/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">14,100</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(414,954)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.03%<SUP>5</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">UBS AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/18/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">5,900</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(875,107)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.05%<SUP>6</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/02/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">5,900</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.05%<SUP>6</SUP></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/02/22</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">3,900</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,987</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,416,915)</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Fund pays a fixed interest rate and receives floating rate.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Fund pays a floating interest rate and receives fixed rate.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>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:</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Level 1 &#151; unadjusted price quotations in active markets/exchanges for identical
assets and liabilities</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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)</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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&rsquo;s own assumptions used in determining
the fair value of investments and derivative financial instruments)</TD>
</TR></TABLE>

<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; margin-left: 33pt">Changes in valuation techniques may result in transfers into 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 is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund&rsquo;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-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 31 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->30<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (concluded)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following tables summarize the inputs used as of April 30, 2012 in determining the fair valuation of the Fund&rsquo;s investments and derivative financial instruments:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1px solid; border-top: Black 1px solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 1</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 2</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 3</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Long-Term</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: 6pt">Asset-Backed Securities</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">2,951,661</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">2,239,250</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">5,190,911</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Corporate Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">498,725,845</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,510,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">502,236,345</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Preferred Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,378,015</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">124,371,284</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">125,749,299</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Taxable Municipal Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,231,460</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,231,460</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">US Government Sponsored</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">Agency Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,344,575</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,344,575</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">US Treasury Obligations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,148,355</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,148,355</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Short-Term Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">1,908,035</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">1,908,035</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1px">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">3,286,050</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">639,773,180</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">5,749,750</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">648,808,980</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1px solid; border-top: Black 1px solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 1</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 2</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 3</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Derivative Financial Instruments<SUP>1</SUP></TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: 6pt">Equity contracts</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">74,100</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">74,100</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Interest rate contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">73,074</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">481,301</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">554,375</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Credit contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">154,685</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">154,685</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><B>Liabilities</B>:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Equity contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(51,763</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(51,763</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Interest rate contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(970,546</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,561,433</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,531,979</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Foreign currency</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">exchange contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,375</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,375</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Credit contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(127,515</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(36</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(127,551</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Total</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(823,372</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(1,107,100</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(36</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(1,930,508</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 4pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; margin-top: 3">The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Asset-Backed<BR> Securities</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Corporate<BR> Bonds</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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 STYLE="vertical-align: bottom">
    <TD STYLE="width: 46%; text-align: left">Balance, as of October 31, 2011</TD><TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 11%; text-align: right">2,053,750</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 11%; text-align: right">3,536,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 11%; text-align: right">5,589,750</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18,738</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18,738</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">166,762</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(25,500</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">141,262</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers in<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Transfers out<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Balance, as of April 30, 2012</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">2,239,250</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">3,510,500</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">5,749,750</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 4pt"></TD><TD>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 April 30, 2012 was $3,677,262.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 4pt"></TD><TD>The Fund&rsquo;s policy is to recognize transfers in and transfers out as of the beginning
of the period of the event or the change in circumstances that caused the transfer.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Credit<BR> Contracts</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets/Liabilities:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 70%; text-align: left">Balance, as of October 31, 2011</TD><TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 18%; text-align: right">5,018</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,988</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation<SUP>4</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5,054</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Issuances<SUP>5</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Settlements<SUP>6</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(8,988</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers in<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Transfers out<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Balance, as of April 30, 2012</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(36</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 4pt"></TD><TD>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
April 30, 2012 was $(5,054).</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Issuances represent upfront cash received on certain derivative financial instruments.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Settlements represent periodic contractual cash flows and/or cash flows to terminate
certain derivative financial instruments.</TD>
</TR></TABLE>
<P STYLE="font-family: Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 40pt; text-indent: 0pt"><FONT STYLE="font-size: 8pt">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 period in relation to net assets.</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 32 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">April 30, 2012 (Unaudited)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed Securities &#151; 0.5%</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Atrium CDO Corp., Series 5A, Class A4,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.88%, 7/20/20 (a)(b)</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 1,300</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,098,500</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Aerospace &amp; Defense &#151; 1.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BE Aerospace, Inc., 8.50%, 7/01/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,215</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,345,612</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Huntington Ingalls Industries, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 3/15/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">290</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">306,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 3/15/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">317,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kratos Defense &amp; Security Solutions, Inc.,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 6/01/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">460</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">494,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,464,412</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Airlines &#151; 0.7%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust, Series 2011-2,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Class A, 8.63%, 4/15/23</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">257</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">271,321</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Continental Airlines Pass-Through Certificates,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Series 2009-2, Class B, 9.25%, 5/10/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">709,715</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">520</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">547,143</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,528,179</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.8%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delphi Corp., 6.13%, 5/15/21 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">280</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">298,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Icahn Enterprises LP:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 1/15/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,130</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,207,688</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.75%, 1/15/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">290</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">305,225</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,811,113</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Beverages &#151; 0.5%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Constellation Brands, Inc., 7.25%, 5/15/17</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">955</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,079,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Building Products &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Building Materials Corp. of America (a):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 2/15/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">180</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">192,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 5/01/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">460</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">478,975</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">671,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 3.6%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,677,095</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">E*Trade Financial Corp., 12.50%, 11/30/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,048,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Goldman Sachs Group, Inc. (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 1/24/22</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">835,355</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/01/41</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,184,707</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley, 5.50%, 7/28/21 (c)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,564,216</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Murray Street Investment Trust I, 4.65%, 3/09/17 (d)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">301,801</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS AG, 2.25%, 1/28/14 (c)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">779,022</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,390,696</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Chemicals &#151; 1.4%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ashland, Inc., 9.13%, 6/01/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">22,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Celanese US Holdings LLC, 5.88%, 6/15/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">760</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">815,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hexion US Finance Corp., 6.63%, 4/15/20 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">425</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">444,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ineos Finance Plc (a):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.38%, 2/15/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">155</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">166,238</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 5/01/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">355</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">364,763</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LyondellBasell Industries NV, 5.75%, 4/15/24 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">915</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">944,737</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Solutia, Inc., 7.88%, 3/15/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">415</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">484,512</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,241,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks &#151; 4.4%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Amsouth Bank, Series AI, 4.85%, 4/01/13</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">532,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Asciano Finance Ltd., 5.00%, 4/07/18 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">425</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">442,416</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Associated Banc-Corp, 5.13%, 3/28/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,070</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,132,791</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Branch Banking &amp; Trust Co. (b):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.79%, 9/13/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">518,399</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.79%, 5/23/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">303,104</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">720</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 721,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">551,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">580</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">597,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 2/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">513,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Discover Bank, 8.70%, 11/18/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">693,718</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HSBC Finance Corp., 6.68%, 1/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">809,989</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Regions Financial Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.88%, 4/26/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,261,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 6/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">896,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">RESPARCS Funding LP I, 8.00% (e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,272,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,248,117</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Services &amp; Supplies &#151; 3.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviation Capital Group Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 10/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,602,597</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 4/06/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,113,075</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Casella Waste Systems, Inc., 7.75%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">336</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">330,960</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Clean Harbors, Inc., 7.63%, 8/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">630</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">661,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corrections Corp. of America, 7.75%, 6/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,736,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Covanta Holding Corp., 6.38%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">329,156</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Iron Mountain, Inc., 7.75%, 10/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">190</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">207,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Mobile Mini, Inc., 7.88%, 12/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">135</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">144,450</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,124,838</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Communications Equipment &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc., 9.75%, 11/01/15 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">396,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Brocade Communications Systems, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 1/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,450</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,584,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hughes Satellite Systems Corp., 6.50%, 6/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">224,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,205,325</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Construction Materials &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">HD Supply, Inc., 8.13%, 4/15/19 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">430</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">461,713</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Consumer Finance &#151; 5.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Express Credit Corp., 2.75%, 9/15/15 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,009,046</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital One Bank USA NA, 8.80%, 7/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,052,214</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Daimler Finance North America LLC, 2.63%, 9/15/16 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,706,126</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ford Motor Credit Co. LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 4/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,420</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,583,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 8/02/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">226,018</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">870</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">935,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SLM Corp., 6.25%, 1/25/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,365</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,435,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Toll Brothers Finance Corp., 5.88%, 2/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">206,983</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,154,887</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Containers &amp; Packaging &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">205</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">221,912</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ball Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 9/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">930,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 9/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,070</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,182,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Americas LLC, 6.25%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">435,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sealed Air Corp., 8.38%, 9/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">65</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">73,775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,843,787</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 7.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 2/11/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">404,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.30%, 2/12/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">780</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">856,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 11/01/31</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">620</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">709,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bank of America Corp. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.30%, 3/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,440</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,544,791</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 5/13/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,608,035</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Citigroup, Inc. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 8/12/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">673,997</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.59%, 12/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">497,515</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 5/22/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">683,363</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 33 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Countrywide Financial Corp., 6.25%, 5/15/16 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,569</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,627,001</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DPL, Inc., 7.25%, 10/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">520</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">577,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">General Motors Financial Co., Inc., 6.75%, 6/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">266,258</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ING Bank NV, 5.00%, 6/09/21 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,171,414</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intesa Sanpaolo SpA:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.38%, 12/21/12</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,675,942</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/24/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">181,712</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Moody&rsquo;s Corp., 6.06%, 9/07/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,577,449</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">115</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">120,175</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 8/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">420</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">453,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.88%, 8/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">145</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">151,163</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">105</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">108,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">WMG Acquisition Corp., 9.50%, 6/15/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">109,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,996,965</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Telecommunication Services &#151; 4.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AT&amp;T, Inc., 6.30%, 1/15/38 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,396,956</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 7/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,577</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,620,368</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.63%, 7/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">370</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">387,575</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Telecom Italia Capital SA, 6.18%, 6/18/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">516,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Telefonica Emisiones SAU, 5.46%, 2/16/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">660</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">620,291</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Verizon Communications, Inc. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.95%, 3/28/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,816,453</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.35%, 4/01/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,577,515</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Windstream Corp., 7.88%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">442,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,377,308</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electric Utilities &#151; 2.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CMS Energy Corp., 5.05%, 3/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">559,846</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Duke Energy Corp., 3.55%, 9/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">860,763</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Great Plains Energy, Inc., 5.29%, 6/15/22 (d)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">874,523</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Progress Energy, Inc., 7.00%, 10/30/31 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,610,674</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southern Co., 1.95%, 9/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">486,111</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,391,917</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Jabil Circuit, Inc., 8.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">466,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">NXP BV, 3.22%, 10/15/13 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">198</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">198,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">664,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Energy Equipment &amp; Services &#151; 2.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Atwood Oceanics, Inc., 6.50%, 2/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">55</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">57,888</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Transfer Partners LP, 5.20%, 2/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,598,842</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ensco Plc, 4.70%, 3/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">960</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,047,510</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Frac Tech Services LLC, 7.13%, 11/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">542,062</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">135</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">134,663</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Key Energy Services, Inc., 6.75%, 3/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">360</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">370,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., 6.50%, 3/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">465</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">489,412</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Oil States International, Inc., 6.50%, 6/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">245</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">259,088</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Peabody Energy Corp., 6.25%, 11/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">755</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">764,437</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Transocean, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">545</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">625,892</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 12/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">660</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">772,855</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,663,449</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food &amp; Staples Retailing &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Wal-Mart Stores, Inc., 5.25%, 9/01/35 (c)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,850</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,125,269</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food Products &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kraft Foods, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 8/11/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">970,724</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.13%, 8/23/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">967,601</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Smithfield Foods, Inc., 10.00%, 7/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">187</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">218,790</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,157,115</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Gas Utilities &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">El Paso Natural Gas Co., 8.63%, 1/15/22</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">335</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">423,995</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Equipment &amp; Supplies &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,146,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Teleflex, Inc., 6.88%, 6/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">256,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,403,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Providers &amp; Services &#151; 3.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aetna, Inc., 6.75%, 12/15/37 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,103,493</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviv Healthcare Properties LP, 7.75%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">220</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">228,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HCA, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">105</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">117,797</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,145</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,225,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.25%, 9/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,645</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,821,837</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">INC Research LLC, 11.50%, 7/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">340</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">334,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc., 10.00%, 8/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">135</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">121,038</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">745</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">860,475</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.88%, 7/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">616,688</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,310,984</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,740,312</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Technology &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Amgen, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.15%, 11/15/41 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,015</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,099,926</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.65%, 6/15/42</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">22,249</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,122,175</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Household Durables &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Standard Pacific Corp., 8.38%, 1/15/21</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">435</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">458,925</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Independent Power Producers &amp; Energy Traders &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AES Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.75%, 4/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">480</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">566,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 7/01/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">70</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">77,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Calpine Corp., 7.25%, 10/15/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">220</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">234,850</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co. LLC,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 12/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">915</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,009,931</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Laredo Petroleum, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.50%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">140</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">156,450</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/01/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">130</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">134,550</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">QEP Resources, Inc., 5.38%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">280</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">280,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,460,056</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance &#151; 5.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American International Group, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.80%, 3/22/17 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">748,793</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.25%, 8/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">363,489</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.40%, 12/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,235</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,418,594</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aon Corp., 5.00%, 9/30/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,666,660</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,457,420</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">536,924</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Genworth Financial, Inc., 7.63%, 9/24/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">480</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">473,951</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Manulife Financial Corp., 4.90%, 9/17/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,123,357</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">181,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Principal Financial Group, Inc., 8.88%, 5/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">615,226</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Prudential Financial, Inc., 6.63%, 12/01/37 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000,427</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">XL Group Ltd., 5.75%, 10/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,740</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,924,289</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,510,255</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>IT Services &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Epicor Software Corp., 8.63%, 5/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">340</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">351,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fidelity National Information Services, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 3/15/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">160</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">160,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 6/15/19 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">455</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">465,238</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.25%, 1/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">40</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">39,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">12.63%, 1/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">340</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">340,850</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SunGard Data Systems, Inc., 7.38%, 11/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">373,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,731,013</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 34 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Life Sciences Tools &amp; Services &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,830</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 2,022,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Life Technologies Corp., 6.00%, 3/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,325,530</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,347,680</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Machinery &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ingersoll-Rand Global Holding Co., Ltd., 9.50%, 4/15/14</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,982,617</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UR Financing Escrow Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 7/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">114</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">117,705</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">290</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">304,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.63%, 4/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">267</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">282,352</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,687,174</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Media &#151; 9.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., 7.75%, 7/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">190</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">212,325</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CCH II LLC, 13.50%, 11/30/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,128</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,274,640</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Comcast Corp., 6.30%, 11/15/17 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,092,454</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cox Communications, Inc., 8.38%, 3/01/39 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,476,729</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CSC Holdings LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 4/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">330</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">363,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.63%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">580</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">658,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DIRECTV Holdings LLC, 5.00%, 3/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,366,934</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DISH DBS Corp., 7.00%, 10/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">910,562</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, 7.25%, 4/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">156,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intelsat Luxemburg SA:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">11.25%, 2/04/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">311,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">11.50%, 2/04/17 (f)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">190</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">198,075</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Interpublic Group of Cos., Inc., 10.00%, 7/15/17</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">654,781</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">533,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The New York Times Co., 6.63%, 12/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,800,469</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">News America, Inc., 6.15%, 3/01/37 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,221,498</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time Warner Cable, Inc., 6.75%, 6/15/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,351,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time Warner, Inc., 7.70%, 5/01/32</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,620,306</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Germany GmbH), 8.13%, 12/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">505</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">541,613</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Virgin Media Secured Finance Plc, 6.50%, 1/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,417,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">22,162,186</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Metals &amp; Mining &#151; 2.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Alcoa, Inc., 5.40%, 4/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">290</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">304,793</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barrick Gold Corp., 2.90%, 5/30/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">576,739</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barrick North America Finance LLC, 5.70%, 5/30/41 (c)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">716,234</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan Copper &amp; Gold, Inc., 3.55%, 3/01/22</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">666,956</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan Corp., 7.13%, 11/01/27</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,727,642</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">New Gold, Inc., 7.00%, 4/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">65</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">66,462</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc., 8.75%, 12/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">470</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">518,175</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Teck Resources Ltd., 10.75%, 5/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">190</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">235,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,812,126</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multi-Utilities &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CenterPoint Energy, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.95%, 2/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,714,863</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,904,085</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,618,948</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multiline Retail &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">JC Penney Co., Inc., 5.65%, 6/01/20 (c)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">720</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">698,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 13.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Anadarko Petroleum Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.95%, 9/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">497</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">574,604</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 9/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">12</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,261</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Berry Petroleum Co., 6.38%, 9/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">205</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">213,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BP Capital Markets Plc:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.88%, 3/10/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">749,740</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.20%, 3/11/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">925</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">985,439</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Buckeye Partners LP, 4.88%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">490,677</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chesapeake Midstream Partners LP:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 4/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">285</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">270,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.13%, 7/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">230</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">221,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,800</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Concho Resources, Inc., 5.50%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">205</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 205,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CONSOL Energy, Inc., 6.38%, 3/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">220</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">206,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Copano Energy LLC, 7.13%, 4/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">270</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">284,850</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DCP Midstream LLC, 4.75%, 9/30/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">674,917</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">El Paso Pipeline Partners Operating Co. LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 4/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">680</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">781,113</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 10/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">316,934</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enbridge Energy Partners LP, 9.88%, 3/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,348,961</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">516,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enterprise Products Operating LLC, 6.65%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,421,606</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Everest Acquisition LLC/Everest Acquisition</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Finance, Inc., 6.88%, 5/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">165</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">173,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Forest Oil Corp., 8.50%, 2/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">645,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,418,780</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kodiak Oil &amp; Gas Corp., 8.13%, 12/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">110</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">116,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Linn Energy LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 11/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">545</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">536,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.75%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">220</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">232,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Marathon Petroleum Corp., 3.50%, 3/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">681,796</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MarkWest Energy Partners LP, 6.25%, 6/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">255</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">268,388</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Newfield Exploration Co., 6.88%, 2/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">275</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">292,188</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nexen, Inc., 6.40%, 5/15/37</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">670</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">743,711</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Oasis Petroleum, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.25%, 2/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">165</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">174,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">145</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">147,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">OGX Petroleo e Gas Participacoes SA,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 6/01/18 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">596,563</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ONEOK Partners LP, 8.63%, 3/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,255,815</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petrobras International Finance Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.88%, 1/27/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,884,301</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.38%, 1/27/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,177,587</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petrohawk Energy Corp., 10.50%, 8/01/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">333,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">310</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320,850</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Phillips 66, 2.95%, 5/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">515</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">528,453</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pioneer Natural Resources Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.65%, 3/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">363,029</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">282,536</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Plains Exploration &amp; Production Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 3/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">220,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 2/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">30</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">31,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Precision Drilling Corp., 6.50%, 12/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">218,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Premier Oil Plc, 5.00%, 6/09/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,677,812</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Range Resources Corp., 6.75%, 8/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">415</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">450,275</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ruby Pipeline LLC, 6.00%, 4/01/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,425</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,459,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Samson Investment Co., 9.75%, 2/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">295</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">307,906</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SandRidge Energy, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 3/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">95</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">95,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 10/15/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">105</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">108,938</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SM Energy Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.63%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">110</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">116,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">165</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">174,075</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Targa Resources Partners LP, 6.88%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tennessee Gas Pipeline Co., 8.00%, 2/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">466,278</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Western Gas Partners LP, 5.38%, 6/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">791,011</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Williams Cos., Inc., 8.75%, 3/15/32</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">247</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">333,728</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">31,170,372</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Paper &amp; Forest Products &#151; 3.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Boise Paper Holdings LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">140</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">155,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 4/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">310</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">341,775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">980</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,082,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">International Paper Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 8/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,063,020</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.70%, 6/15/38</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,226,057</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.30%, 11/15/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,134,436</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 6/01/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">160</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">161,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,165,538</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 35 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->34<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Pharmaceuticals &#151; 2.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Merck &amp; Co., Inc., 6.50%, 12/01/33</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">990</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,365,119</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pfizer, Inc., 7.20%, 3/15/39 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,635</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,417,304</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Roche Holdings, Inc., 7.00%, 3/01/39 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">865</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,227,709</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; text-indent: 6pt">6.50%, 7/15/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">129,531</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,139,663</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Professional Services &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">FTI Consulting, Inc., 7.75%, 10/01/16</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">104,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Investment Trusts (REITs) &#151; 2.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,053,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Developers Diversified Realty Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.75%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">315</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">326,363</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 9/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">375</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">450,357</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ERP Operating LP, 5.75%, 6/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,715</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,973,905</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HCP, Inc., 5.38%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550,860</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UDR, Inc., 4.25%, 6/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">770,394</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">567,031</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,692,785</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Management &amp; Development &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Realogy Corp., 7.63%, 1/15/20 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">295</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">306,063</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Shea Homes LP, 8.63%, 5/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">230</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">239,775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">545,838</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Road &amp; Rail &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avis Budget Car Rental LLC, 8.25%, 1/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">54</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">56,565</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Florida East Coast Railway Corp., 8.13%, 2/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">80</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">82,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Hertz Corp., 6.75%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">188</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">196,225</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,898,215</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,233,205</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Advanced Micro Devices, Inc., 7.75%, 8/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">441,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">KLA-Tencor Corp., 6.90%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">918</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,110,790</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,551,790</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Software &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lawson Software, Inc., 9.38%, 4/01/19 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">220</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">229,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Specialty Retail &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AutoNation, Inc., 6.75%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">940</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,019,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Limited Brands, Inc., 7.00%, 5/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">470</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">521,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">QVC, Inc., 7.38%, 10/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">50</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">54,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sally Holdings LLC, 6.88%, 11/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">290</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">308,850</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">VF Corp., 5.95%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">865,353</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,770,553</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Tobacco &#151; 2.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Altria Group, Inc., 10.20%, 2/06/39 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,919</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,074,574</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lorillard Tobacco Co., 3.50%, 8/04/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,231,249</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Philip Morris International, Inc., 2.50%, 5/16/16 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,288,003</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,593,826</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services &#151; 5.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">America Movil SAB de CV, 2.38%, 9/08/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,780</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,816,518</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Tower Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 1/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">925</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">976,740</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.05%, 9/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">529,038</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%, 5/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">342,063</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Castle International Corp., 9.00%, 1/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">430</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">475,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Castle Towers LLC (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 1/15/37</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">634,866</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.17%, 8/15/37</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,046,738</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.11%, 1/15/40</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">713,732</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nextel Communications, Inc., Series E,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 10/31/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">395</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">395,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SBA Tower Trust, 5.10%, 4/15/42 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,720,517</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sprint Capital Corp., 6.88%, 11/15/28</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">480</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">358,800</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">760</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 836,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,290</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,315,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,161,912</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Corporate Bonds &#151; 106.2%</B></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">245,136,717</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Preferred Securities</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Capital Trusts</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 3.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">State Street Capital Trust III, 5.46% (b)(e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,385</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,390,429</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">State Street Capital Trust IV, 1.47%, 6/01/37 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,199,874</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,590,303</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks &#151; 3.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays Bank Plc (a)(b)(e):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.93%,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,547,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.43%,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas, 7.20% (a)(b)(c)(e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">602,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Agricole SA, 8.38% (a)(b)(c)(e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">638,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,095</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">881,475</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">FCB/NC Capital Trust I, 8.05%, 3/01/28</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,105,265</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">National City Preferred Capital Trust I, 12.00% (b)(e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">638,640</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">NBP Capital Trust III, 7.38% (e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,380,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,117,380</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Consumer Finance &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital One Capital V, 10.25%, 8/15/39</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">750</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">781,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 4.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase Capital XXI, Series U,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.49%, 2/02/37 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,276,191</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase Capital XXIII, 1.50%, 5/15/47 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,190</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,580,730</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,856,921</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electric Utilities &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">PPL Capital Funding, 6.70%, 3/30/67 (b)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">891,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance &#151; 7.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Allstate Corp., 6.50%, 5/15/67 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">879,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American General Capital II, 8.50%, 7/01/30</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">109,301</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American International Group, Inc., 8.18%, 5/15/68 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">427,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AXA SA, 6.38% (a)(b)(e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">715,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chubb Corp., 6.38%, 3/29/67 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">921,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,224,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lincoln National Corp., 7.00%, 5/17/66 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">873,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MetLife, Inc., 6.40%, 12/15/66</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">880,392</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Mitsui Sumitomo Insurance Co., Ltd.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/15/72 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">719,201</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Northwestern Mutual Life Insurance,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.06%, 3/30/40 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,144,666</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Prudential Plc, 6.50% (e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,661,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reinsurance Group of America, 6.75%, 12/15/65 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,202,894</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swiss Re Capital I LP, 6.85% (a)(b)(e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">919,653</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ZFS Finance (USA) (a)(b):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Trust II, 6.45%, 12/15/65</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,127,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Trust IV, 5.88%, 5/09/62</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">190</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">190,237</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,995,469</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">939,503</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Capital Trusts &#151; 20.0%</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">46,172,451</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
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<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Preferred Stocks &#151; 0.4%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Shares</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.4%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc., 7.00% (a)</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,170</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%"> 993,038</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD>
  </TR>

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

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Trust Preferreds &#151; 0.3%</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">GMAC Capital Trust I, Series 2, 8.13% (b)</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,490</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">623,076</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Preferred Securities &#151; 20.7%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">47,788,565</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Taxable Municipal Bonds &#151; 0.9%</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Metropolitan Transportation Authority, RB, Build America</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bonds, 6.55%, 11/15/31</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 1,675</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,054,404</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>US Government Sponsored Agency Securities &#151; 0.3%</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Agency Obligations &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fannie Mae, 4.23%, 10/09/19 (c)(g)</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">805</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">648,134</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>U.S. Treasury Obligations</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Bonds (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; text-indent: 12pt; vertical-align: middle">3.75%, 8/15/41</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">713</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">805,021</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; text-indent: 12pt; vertical-align: middle">3.13%, 11/15/41</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,060</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,063,312</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Notes, 0.88%, 12/31/16 (c)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,875</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,886,134</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total U.S. Treasury Obligations &#151; 1.6%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,754,467</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>


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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Warrants &#151; 0.0% (h)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Shares</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Media &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cumulus Media, Inc. (Expires 3/26/19)</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,345</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,872</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Long-Term Investments</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $289,613,314) &#151; 130.2%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">300,498,659</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>


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

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Short-Term Securities</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds, TempFund,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; text-indent: 6pt; font-family: Arial, Helvetica, Sans-Serif">Institutional Class, 0.15% (i)(j)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">841,364</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">841,364</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Short-Term Securities</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $841,364) &#151; 0.4%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">841,364</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Options Purchased</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center; vertical-align: bottom"><B>Contracts</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Exchange-Traded Put Options &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">S&amp;P 500 Index, Strike Price USD 1,200.00,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; text-indent: 6pt">Expires 6/16/12</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">138</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">35,880</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Options Purchased</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Notional</B><BR>

<B>Amount</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Call Swaptions &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.40% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 5/11/12,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 2,700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%"> 96</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 4/05/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240,832</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 1/13/14,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">21,881</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">262,809</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Put Swaptions &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 4/05/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">109,356</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 2.61% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 1/13/14,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20,162</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 2/02/17,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">77,197</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">206,715</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Purchased</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $991,810) &#151; 0.2%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">505,404</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments Before Options Written</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $291,446,488) &#151; 130.8%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">301,845,427</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="font-family: Arial, Helvetica, Sans-Serif; text-align: left">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Options Written</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Contracts</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Call Options &#151; (0.0)%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">S&amp;P 500 Index, Strike Price USD 1,450.00,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Expires 6/15/12, Broker Deutsche Bank AG</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,500</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(25,517</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Options Written</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Notional</B><BR>

<B>Amount</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Call Swaptions &#151; (0.4)%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.75% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 3/24/14,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 5,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(967,336</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Put Swaptions &#151; (0.1)%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 1.75% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 8/23/12,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,800</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(14,881</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 4.75% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 3/24/14,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,000</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(30,291</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 6.00% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 2/02/17,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(68,296</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(113,468</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Written</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Premiums Received &#151; $764,470) &#151; (0.5)%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,106,321</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments, Net of Options Written &#151; 130.3%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300,739,106</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities in Excess of Other Assets &#151; (30.3)%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(70,016,682</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Net Assets &#151; 100.0%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">230,722,424</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 37 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->36<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></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: 16pt; text-align: right">(a)</TD><TD STYLE="width: 4pt"></TD><TD>Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.</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: 16pt; text-align: right">(b)</TD><TD STYLE="width: 4pt"></TD><TD>Variable rate security. Rate shown is as of report date.</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: 16pt; text-align: right">(c)</TD><TD STYLE="width: 4pt"></TD><TD>All or a portion of security has been pledged as collateral in connection with open
reverse repurchase agreements.</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: 16pt; text-align: right">(d)</TD><TD STYLE="width: 4pt"></TD><TD>Represents a step-down bond that pays an initial coupon rate for the first period
and then a lower coupon rate for the following periods. Rate shown is as of report date.</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: 16pt; text-align: right">(e)</TD><TD STYLE="width: 4pt"></TD><TD>Security is perpetual in nature and has no stated maturity date.</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: 16pt; text-align: right">(f)</TD><TD STYLE="width: 4pt"></TD><TD>Represents a payment-in-kind security which may pay interest/dividends in additional
par/shares.</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: 16pt; text-align: right">(g)</TD><TD STYLE="width: 4pt"></TD><TD>Represents a zero-coupon bond. Rate shown reflects the current yield as of report
date.</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: 16pt; text-align: right">(h)</TD><TD STYLE="width: 4pt"></TD><TD>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.</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: 16pt; text-align: right">(i)</TD><TD STYLE="width: 4pt"></TD><TD>Investments in companies considered to be an affiliate of the Fund during the period,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Affiliate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Shares Held at</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Net</B><BR>
<B>Activity</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Shares Held at</B><BR>
<B>April 30,</B><BR>
<B>2012</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Income</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Funds, TempFund,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Institutional Class</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">2,459,914</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1,618,550)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">841,364</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$ 1,396</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: 16pt; text-align: right">(j)</TD><TD STYLE="width: 4pt"></TD><TD>Represents the current yield as of report date.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>For Fund compliance purposes, the Fund&rsquo;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.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Reverse repurchase agreements outstanding as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Interest</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Trade</B><BR>
<B>Date</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Maturity</B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Net Closing</B><BR>
<B>Amount</B></TD>
    <TD STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Face</B><BR>
<B>Amount</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 40%">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 11%">0.37%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 11%">1/10/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 11%">Open</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6; width: 10%"> 1,732,617</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 1,730,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1/10/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">2,046,667</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,044,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1/12/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">1,537,033</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,535,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.25%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">495,584</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">495,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">(1.25)%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/02/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">249,240</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250,012</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/15/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">2,001,366</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,999,889</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/22/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">1,403,441</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,402,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.25%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/05/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">105,642</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">105,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.25%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/07/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">608,295</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">608,062</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/08/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">788,414</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">788,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">14,484,358</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,476,871</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.17%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/14/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">1,033,734</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,033,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.30%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">2,879,257</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,878,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">1,472,351</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,471,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/21/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">1,601,888</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,601,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/22/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">1,342,040</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,341,519</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Credit Suisse Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/27/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">698,957</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">698,719</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/27/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">2,163,086</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,162,288</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/03/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">7,496,838</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,494,797</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.10%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/03/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">779,013</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">778,952</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.11%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/03/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">628,054</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">628,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/03/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">1,514,412</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,514,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1.00)%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/03/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">318,922</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">319,170</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.30%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/04/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">2,403,941</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,403,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.31%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/04/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">477,486</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">477,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/04/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">8,704,035</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,701,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/04/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">7,758,210</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,756,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.10%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/16/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">348,015</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">348,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">115,700</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">115,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.12%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">1,889,107</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,889,063</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: -6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-left: 6pt">Barclays Capital, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">2,072,183</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,072,063</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.37%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">2,155,111</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,155,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.25%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">648,023</TD>
    <TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">648,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 6">73,953,020</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">73,924,855</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
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<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Financial futures contracts purchased as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B>Contracts</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B> Issue</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Exchange</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B>Expiration</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; border-bottom: Black 1px solid; padding-left: 9pt"><B>Notional</B><BR>
<B>Value</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid"><B>Unrealized</B><BR>
<B>Appreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2-Year US</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">June</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; padding-left: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 16%">Treasury Note</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 16%">of Trade</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 8%; vertical-align: bottom">2012</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 8%; vertical-align: bottom">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; width: 16%; padding-left: 9pt">661,641</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%"> 688</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">20</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">30-Year US</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">June</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; padding-left: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Treasury Bond</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">2012</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; padding-left: 9pt">2,857,500</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">133,717</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">91</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">5-Year US</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">June</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; padding-left: 9pt">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Treasury Note</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">2012</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 9pt; padding-left: 9pt">11,265,515</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">48,373</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; padding-left: 9pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 182,778</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Financial futures contracts sold as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Contracts</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B> Issue</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Exchange</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; vertical-align: bottom"><B>Expiration</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; border-top: Black 1px solid; border-bottom: Black 1px solid; padding-left: 9pt"><B>Notional</B><BR>
<B>Value</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized</B><BR>
<B>Depreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">207</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 16%">10-Year US</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 16%">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 8%">June</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; width: 16%; padding-left: 9pt">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 14%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Treasury Note</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">2012</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 9pt; padding-left: 9pt">27,382,219 </TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(366,325)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;48</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Ultra Long Term </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">Chicago Board</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">June</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; padding-left: 9pt">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">US Treasury Bond </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">of Trade</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">2012</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 9pt; padding-left: 9pt">7,575,000</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(205,820)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 9pt; padding-left: 9pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$ </TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">(572,145)</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Credit default swaps on single-name issues &#151; buy protection outstanding as of
April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Issuer</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid; vertical-align: bottom"><B>Pay</B><BR>
<B>Fixed</B><BR>
<B>Rate</B></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Expiration</B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid; vertical-align: bottom"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized</B><BR>
<B>Appreciation</B><BR>
<B>(Depreciation)</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The New York</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Times Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 12%; vertical-align: bottom">1.00%</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 16%">Barclays Bank Plc</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 16%">12/20/16</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 8%; vertical-align: bottom">USD </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6; width: 8%">1,725</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%"> 14,871</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southwest</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Goldman Sachs</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Airlines Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom"> 1.00%</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&amp; Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">&nbsp;&nbsp;&nbsp;570</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(14,296)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southwest</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Royal Bank of</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Airlines Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom"> 1.00%</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Scotland Plc</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">&nbsp;&nbsp;&nbsp;570</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(16,512)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Warner Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom"> 1.00%</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities (USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">3,500</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3,143)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Emerson</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 1px; border-bottom: Black 1px solid">Electric Co.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid; vertical-align: bottom"> 1.00%</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">&amp; Co., Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">3/20/17</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid; vertical-align: bottom">USD </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6; border-bottom: Black 1px solid">1,125</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">(8,936)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> (28,016)</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Credit default swaps on single-name issues &#151; sold protection outstanding as of
April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Issuer</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Receive</B><BR>
<B>Fixed</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Counter-</B><BR>
<B>party</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Expiration</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Issuer</B><BR>
<B>Credit</B><BR>
<B>Rating</B><B><SUP>1</SUP></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid; vertical-align: bottom"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)</B><B><SUP>2</SUP></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized</B><BR>
<B>Appreciation</B><BR>
<B>(Depreciation)</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviva USA</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corp.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 12%">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 14%">Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 14%">5/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 12%">A</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 7%">USD </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6; width: 7%">1,300</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%"> (17)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DIRECTV</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Holdings</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">BBB</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD </TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6">3,500</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 4">59,047</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MetLife, Inc.</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/18</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">A-</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; padding-right: 6"> &nbsp;&nbsp;&nbsp;425</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(8,873)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 4"> 50,157</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Using S&amp;P&rsquo;s rating.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 4pt"></TD><TD>The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of agreement.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Credit default swaps on traded indexes &#151; sold protection outstanding as of April
30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Index</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid; width: 12%; vertical-align: bottom"><B>Receive</B><BR>
<B>Fixed</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid; width: 14%"><B>Counter-<BR>
party</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid; width: 14%"><B> Expiration</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid; width: 12%"><B>Credit</B><BR>
<B>Rating</B><B><SUP>3</SUP></B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid; width: 14%"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)</B><B><SUP>4</SUP></B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid; border-bottom: Black 1px solid; width: 15%"><B>Unrealized</B><BR>
<B>Appreciation</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dow Jones</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">CDX North</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">America High</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Yield Index</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Series 18,</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Version 1 </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">5.00%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">(USA) LLC </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">6/20/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">B+</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD 900</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$13,624</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Using S&amp;P&rsquo;s rating of the underlying securities.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 4pt"></TD><TD>The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of agreement.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Interest rate swaps outstanding as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; border-top: Black 1px solid"><B>Fixed</B><BR>
<B>Rate</B><B></B></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Floating</B><BR>
<B>Rate</B></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Counterparty</B></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Expiration</B><BR>
<B>Date</b></TD>
     <TD COLSPAN="2" NOWRAP STYLE="border-bottom: Black 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1px solid"><B>Notional<BR>
Amount<BR>
(000)</B></TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized</B><BR>
<B>Appreciation<BR>
(Depreciation)</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.17%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 12%">LIBOR</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 16%">Securities (USA) LLC</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 16%">4/11/17</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 8%; vertical-align: bottom">USD</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 8%">&nbsp;&nbsp;6,200</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom; width: 1%">$ </TD>
     <TD NOWRAP STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%">(26,125)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.18%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/11/17</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD </TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">10,100</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(47,445)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.12%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/05/22</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;&nbsp;3,100</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(26,789)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.03%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">UBS AG</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/18/22</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;&nbsp;2,800</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(415,305)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.05%<SUP>6</SUP></TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities (USA) LLC</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/02/22</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;&nbsp;2,900</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 4">968</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.05%<SUP>6</SUP></TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
     <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities (USA) LLC</TD>
     <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/02/22</TD>
     <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">USD</TD>
     <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;&nbsp;1,900</TD>
     <TD COLSPAN="2" NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 4">&#151;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">$</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> (514,696)</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Fund pays a fixed interest rate and receives floating rate.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Fund pays a floating interest rate and receives fixed rate.</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: 16pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>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:</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: 36pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>Level 1 &#151; unadjusted price quotations in active markets/exchanges for identical
assets and liabilities</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: 36pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>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)</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: 36pt; text-align: right">&#149;</TD><TD STYLE="width: 4pt"></TD><TD>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&rsquo;s own assumptions used in determining
the fair value of investments and derivative financial instruments)</TD>
</TR></TABLE>

<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; margin-left: 20pt">Changes in valuation techniques may result in transfers into 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 is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund&rsquo;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-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 39 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (concluded)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following tables summarize the inputs used as of April 30, 2012 in determining the fair valuation of the Fund&rsquo;s investments and derivative financial instruments:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1px solid; border-top: Black 1px solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 1</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 2</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 3</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Long-Term</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 52%; text-align: left; text-indent: 6pt">Asset-Backed Securities</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">1,098,500</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">1,098,500</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Corporate Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">243,458,905</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,677,812</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">245,136,717</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Preferred Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">623,076</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">47,165,489</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">47,788,565</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Taxable Municipal Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,054,404</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,054,404</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">US Government Sponsored</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">Agency Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">648,134</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">648,134</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">US Treasury Obligations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,754,467</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,754,467</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Warrants</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,872</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,872</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Short-Term Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">841,364</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">841,364</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Total</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">1,464,440</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">297,099,271</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">2,776,312</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">301,340,023</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1px; border-top: Black 1px solid; border-bottom: Black 1px solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid"><B>Level 1</B></TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; text-align: center; border-top: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid"><B>Level 2</B></TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; text-align: center; border-top: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid"><B>Level 3</B></TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; text-align: center; border-top: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: center; border-top: Black 1px solid"><B>Total</B></TD><TD STYLE="border-bottom: Black 1px solid; font-weight: bold; text-align: left; border-top: Black 1px solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Derivative Financial Instruments<SUP>1</SUP></TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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 STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Equity contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">35,880</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">35,880</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Interest rate contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">182,778</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">470,492</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">653,270</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Credit contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">87,542</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">87,542</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Liabilities:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Equity contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(25,517</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(25,517</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Interest rate contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(572,145</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,596,468</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,168,613</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 6pt">Credit contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(51,760</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(17</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(51,777</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Total</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(353,487</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(1,115,711</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(17</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(1,469,215</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Derivative financial instruments are swaps, financial futures contracts, and options.
Swaps and financial futures contracts are valued at the unrealized appreciation/depreciation on the instrument and options are
shown at value.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Asset-Backed<BR> Securities</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Corporate<BR> Bonds</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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 STYLE="vertical-align: bottom">
    <TD STYLE="width: 46%; text-align: left">Balance, as of October 31, 2011</TD><TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 11%; text-align: right">1,007,500</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 11%; text-align: right">1,690,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 11%; text-align: right">2,697,500</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,192</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,192</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">81,808</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(12,188</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">69,620</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers in<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Transfers out<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Balance, as of April 30, 2012</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">1,098,500</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">1,677,812</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">2,776,312</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 4pt"></TD><TD>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 April 30, 2012 was $1,759,621.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 4pt"></TD><TD>The Fund&rsquo;s policy is to recognize transfers in and transfers out as of the beginning
of the period of the event or the change in circumstances that caused the transfer.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Credit<BR> Contracts</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets/Liabilities:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 70%; text-align: left">Balance, as of October 31, 2011</TD><TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 18%; text-align: right">2,351</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,210</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation<SUP>4</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,368</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Issuances<SUP>5</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Settlements<SUP>6</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4,210</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers in<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Transfers out<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Balance, as of April 30, 2012</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(17</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 4pt"></TD><TD>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
April 30, 2012 was $(2,368).</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Issuances represent upfront cash received on certain derivative financial instruments.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 4pt"></TD><TD>Settlements represent periodic contractual cash flows and/or cash flows to terminate
certain derivative financial instruments.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; margin-left: 40pt"><FONT STYLE="font-size: 8pt">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 period in relation to net assets.</FONT></P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 40 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">April 30, 2012 (Unaudited)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed Securities</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">321 Henderson Receivables I LLC, Series 2012-1A,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Class A, 4.21%, 2/16/65 (a)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 1,713</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,763,318</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Atrium CDO Corp., Series 5A, Class A4,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.88%, 7/20/20 (a)(b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,718,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SLM Student Loan Trust, Series 2004-B, Class A2,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.67%, 6/15/21 (b)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,624</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,475,992</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Asset-Backed Securities &#151; 1.2%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,957,310</TD>
  </TR>



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

    <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Aerospace &amp; Defense &#151; 1.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BE Aerospace, Inc., 8.50%, 7/01/18</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,959,313</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Huntington Ingalls Industries, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 3/15/18</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">990</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,046,925</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 3/15/21</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">960</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,016,400</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kratos Defense &amp; Security Solutions, Inc.,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 6/01/17</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,662</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,786,650</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,809,288</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Airlines &#151; 0.7%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust, Series 2011-2,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Class A, 8.63%, 4/15/23</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">912</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">962,423</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Continental Airlines Pass-Through Certificates,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Series 2009-2, Class B, 9.25%, 5/10/17</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,865</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,037,569</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,949</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,051,785</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,051,777</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.7%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delphi Corp., 6.13%, 5/15/21 (a)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,011,750</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Icahn Enterprises LP:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.75%, 1/15/16</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,180</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,241,950</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 1/15/18</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,020</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,227,625</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,481,325</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Beverages &#151; 0.5%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Constellation Brands, Inc., 7.25%, 5/15/17</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,230</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,649,900</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Building Products &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Building Materials Corp. of America (a):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 2/15/20</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">790</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">843,325</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 5/01/21</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,560</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,624,350</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,467,675</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 4.7%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,031,283</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">E*Trade Financial Corp., 12.50%, 11/30/17</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,565</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,988,225</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Goldman Sachs Group, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 2/15/19 (c)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,165</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,975,079</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 1/24/22</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,923,743</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/01/41 (c)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,468,651</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley, 5.50%, 7/28/21 (c)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,630</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,504,085</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Murray Street Investment Trust I, 4.65%, 3/09/17 (d)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,006,004</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS AG:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.25%, 1/28/14 (c)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,678</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,691,896</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 7/15/16</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,665,498</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">35,254,464</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Chemicals &#151; 1.5%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ashland, Inc., 9.13%, 6/01/17</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">75</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">83,250</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Celanese US Holdings LLC, 5.88%, 6/15/21</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,560</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,745,600</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hexion US Finance Corp., 6.63%, 4/15/20 (a)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,440</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,504,800</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ineos Finance Plc (a):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.38%, 2/15/19</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">535</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">573,788</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 5/01/20</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,243,275</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LyondellBasell Industries NV, 5.75%, 4/15/24 (a)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,226,562</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Solutia, Inc., 7.88%, 3/15/20</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,425</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,663,687</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,040,962</TD>
  </TR>

<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>

<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks &#151; 4.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Amsouth Bank, Series AI, 4.85%, 4/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 1,827,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Asciano Finance Ltd., 5.00%, 4/07/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,475</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,535,444</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Associated Banc-Corp, 5.13%, 3/28/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,645</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,858,899</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Branch Banking &amp; Trust Co. (b)(c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.79%, 9/13/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,743,706</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.79%, 5/23/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,025,891</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,590</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,596,475</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 5/02/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,120</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,125,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,980</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,039,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 2/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,720</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,767,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Discover Bank, 8.70%, 11/18/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,459,545</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HSBC Finance Corp., 6.68%, 1/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,726,965</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Regions Financial Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.88%, 4/26/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,274,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 6/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,165,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">31,145,425</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Services &amp; Supplies &#151; 4.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviation Capital Group Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 10/15/20 (c)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,341,991</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 4/06/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,809,190</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Casella Waste Systems, Inc., 7.75%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,201</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,182,985</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Clean Harbors, Inc., 7.63%, 8/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,362,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corrections Corp. of America, 7.75%, 6/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,835</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,245,975</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Covanta Holding Corp., 6.38%, 10/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,105</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,136,617</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Iron Mountain, Inc., 7.75%, 10/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">708,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Mobile Mini, Inc., 7.88%, 12/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">455</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">486,850</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">30,274,608</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Communications Equipment &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc., 9.75%, 11/01/15 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,387,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Brocade Communications Systems, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 1/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,580</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,911,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hughes Satellite Systems Corp., 6.50%, 6/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">749,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,047,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Construction Materials &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">HD Supply, Inc., 8.13%, 4/15/19 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,490</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,599,888</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Consumer Finance &#151; 5.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Express Credit Corp., 2.75%, 9/15/15 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,220,380</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital One Bank USA NA, 8.80%, 7/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,988,459</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Daimler Finance North America LLC, 2.63%, 9/15/16 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,868,041</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ford Motor Credit Co. LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 4/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,730</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,273,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 8/02/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">530</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">598,947</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,515</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,703,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SLM Corp., 6.25%, 1/25/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,205</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,451,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Toll Brothers Finance Corp., 5.88%, 2/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">680</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">703,741</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">38,808,293</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Containers &amp; Packaging &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ardagh Packaging Finance Plc (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">227,325</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.13%, 10/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">490</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">530,425</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ball Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 9/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,190,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 9/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,950,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Americas LLC, 6.25%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,468,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sealed Air Corp., 8.38%, 9/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">220</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">249,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,615,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 9.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 2/11/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,515,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.30%, 2/12/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,890</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,171,775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 11/01/31</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,520</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,740,400</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 41 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bank of America Corp. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.75%, 7/12/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">2,855</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 2,842,724</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.30%, 3/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,505</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,784,370</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 5/13/21</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,043,372</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Citigroup, Inc. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 8/12/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,318,549</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.59%, 12/15/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,649,657</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.45%, 1/10/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,520</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,587,797</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Countrywide Financial Corp., 6.25%, 5/15/16 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,740,285</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DPL, Inc., 7.25%, 10/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,785</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,981,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">General Motors Financial Co., Inc., 6.75%, 6/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">830</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">883,975</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ING Bank NV, 5.00%, 6/09/21 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,023,553</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intesa Sanpaolo SpA:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.38%, 12/21/12</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,717,918</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/24/21 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">747</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">678,693</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Macquarie Bank Ltd., 5.00%, 2/22/17 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,364,120</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Moody&rsquo;s Corp., 6.06%, 9/07/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,516,330</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">420</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">438,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 8/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,370</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,479,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.88%, 8/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">515</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">536,888</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">360</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">370,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">WMG Acquisition Corp., 9.50%, 6/15/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">340</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">371,450</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">69,757,506</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Telecommunication Services &#151; 4.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AT&amp;T, Inc. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.40%, 8/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,586,813</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.30%, 1/15/38</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,992,390</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 7/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,547</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,699,542</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.63%, 7/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,070</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,120,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Telecom Italia Capital SA, 6.18%, 6/18/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,703,295</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Telefonica Emisiones SAU, 5.46%, 2/16/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,114,629</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Verizon Communications, Inc. (c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.95%, 3/28/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,724,093</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.35%, 4/01/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,640</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,993,177</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Windstream Corp., 7.88%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">990</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,093,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">33,028,714</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electric Utilities &#151; 3.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CMS Energy Corp., 5.05%, 3/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,883,119</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dominion Resources, Inc., 8.88%, 1/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,911,568</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Duke Energy Corp., 3.55%, 9/15/21 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,947,461</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Great Plains Energy, Inc., 5.29%, 6/15/22 (d)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,978,844</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Progress Energy, Inc., 7.00%, 10/30/31 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,526,685</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southern Co., 1.95%, 9/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,663,012</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">26,910,689</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Jabil Circuit, Inc., 8.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,398,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">NXP BV, 3.22%, 10/15/13 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">664</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">664,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,062,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Energy Equipment &amp; Services &#151; 3.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Atwood Oceanics, Inc., 6.50%, 2/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">185</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">194,713</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Transfer Partners LP, 5.20%, 2/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,329,475</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ensco Plc, 4.70%, 3/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,255</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,551,713</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Frac Tech Services LLC, 7.13%, 11/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,795</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,853,337</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">465</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">463,838</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Key Energy Services, Inc., 6.75%, 3/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,240</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,277,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., 6.50%, 3/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,580</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,662,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Oil States International, Inc., 6.50%, 6/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">835</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">883,013</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Peabody Energy Corp., 6.25%, 11/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,607,187</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Transocean, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,860</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,136,070</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 12/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,693,284</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">22,652,780</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food &amp; Staples Retailing &#151; 0.6%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Wal-Mart Stores, Inc. (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 9/01/35</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 2,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 3,044,304</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.20%, 4/15/38</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,603,167</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,647,471</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food Products &#151; 0.7%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kraft Foods, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 8/11/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,985</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,408,609</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.13%, 8/23/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,990</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,406,907</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Smithfield Foods, Inc., 10.00%, 7/15/14</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">668</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">781,560</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,597,076</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Gas Utilities &#151; 0.2%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">El Paso Natural Gas Co., 8.63%, 1/15/22</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,150</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,455,504</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Equipment &amp; Supplies &#151; 0.8%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,871,563</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Teleflex, Inc., 6.88%, 6/01/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">815</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">872,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,743,613</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Providers &amp; Services &#151; 3.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aetna, Inc., 6.75%, 12/15/37 (c)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,025</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,628,910</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aviv Healthcare Properties LP, 7.75%, 2/15/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">765</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">795,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HCA, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 4/15/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">265</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">297,297</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/15/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,780</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,044,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.25%, 9/15/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,590</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,083,425</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">INC Research LLC, 11.50%, 7/15/19 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,155</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,134,787</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc., 10.00%, 8/15/18 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">445</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">398,962</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 5/01/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,512,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.88%, 7/01/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,046,281</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UnitedHealth Group, Inc., 6.88%, 2/15/38</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,459,282</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">24,401,269</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Technology &#151; 0.9%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Amgen, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.15%, 11/15/41 (c)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,280</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,544,683</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.65%, 6/15/42</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">70</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">77,873</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,622,556</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Household Durables &#151; 0.2%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Standard Pacific Corp., 8.38%, 1/15/21</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,480</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,561,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Independent Power Producers &amp; Energy Traders &#151; 1.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AES Corp.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.75%, 4/15/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,620</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,911,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 7/01/21 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">250,313</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Calpine Corp., 7.25%, 10/15/17 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">730</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">779,275</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co. LLC,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 12/01/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,135</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,460,256</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Laredo Petroleum, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.50%, 2/15/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">485</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">541,987</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/01/22 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">440</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">455,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">QEP Resources, Inc., 5.38%, 10/01/22</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">944</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">944,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,342,831</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance &#151; 4.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American International Group, Inc. (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.80%, 3/22/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,582,045</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.25%, 8/15/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,050</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,272,211</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.40%, 12/15/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,275</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,910,517</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,975</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,833,775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,661,907</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Genworth Financial, Inc., 7.63%, 9/24/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,615</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,594,648</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Manulife Financial Corp., 4.90%, 9/17/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,814,188</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">715</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">616,687</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Principal Financial Group, Inc., 8.88%, 5/15/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,145</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,483,019</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Prudential Financial, Inc., 6.63%, 12/01/37 (c)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,725,647</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">XL Group Ltd., 5.75%, 10/01/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,105</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,539,773</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">32,034,417</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 42 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>IT Services &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Epicor Software Corp., 8.63%, 5/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,180</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,221,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fidelity National Information Services, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 3/15/22 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">530</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">530,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 6/15/19 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,584,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.25%, 1/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">135</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">132,975</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">12.63%, 1/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,160</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,162,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SunGard Data Systems, Inc., 7.38%, 11/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,291,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,923,725</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Life Sciences Tools &amp; Services &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,480</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,055,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Life Technologies Corp., 6.00%, 3/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,581,272</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,636,672</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Machinery &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ingersoll-Rand Global Holding Co., Ltd.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.50%, 4/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,683,573</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UR Financing Escrow Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 7/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">389</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">401,643</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">995</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,044,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.63%, 4/15/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">909</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">961,267</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,091,233</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Media &#151; 7.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., 7.75%, 7/15/21 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">655</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">731,963</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CCH II LLC, 13.50%, 11/30/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,851</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,351,630</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Comcast Corp., 6.30%, 11/15/17 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,943,044</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cox Communications, Inc., 8.38%, 3/01/39 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,850,824</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CSC Holdings LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 4/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,130</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,245,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.63%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,213,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,538,220</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DISH DBS Corp., 7.00%, 10/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,088,937</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, 7.25%, 4/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">333,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intelsat Luxemburg SA:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">11.25%, 2/04/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,030</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,068,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">11.50%, 2/04/17 (e)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">630</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">656,775</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Interpublic Group of Cos., Inc., 10.00%, 7/15/17</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,975</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,249,031</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,760</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,878,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">News America, Inc., 6.15%, 3/01/37 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,387,133</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time Warner Cable, Inc., 6.75%, 6/15/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,637,092</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time Warner, Inc., 7.70%, 5/01/32 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,419,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Germany GmbH), 8.13%, 12/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,225</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,313,812</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Virgin Media Secured Finance Plc, 6.50%, 1/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,460,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">54,369,061</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Metals &amp; Mining &#151; 2.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Alcoa, Inc., 5.40%, 4/15/21 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">940</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">987,948</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barrick Gold Corp., 2.90%, 5/30/16 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,925</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,018,586</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barrick North America Finance LLC, 5.70%, 5/30/41 (c)</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,275</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,506,818</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan Copper &amp; Gold, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.55%, 3/01/22</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,272,591</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan Corp., 7.13%, 11/01/27</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,319,105</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">New Gold, Inc., 7.00%, 4/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">215</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">219,838</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc., 8.75%, 12/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,610</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,775,025</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Teck Resources Ltd., 10.75%, 5/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,237,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,337,411</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multi-Utilities &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CenterPoint Energy, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.95%, 2/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,115,671</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,700,710</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,816,381</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multiline Retail &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">JC Penney Co., Inc., 5.65%, 6/01/20 (c)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,015</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,834,550</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 13.5%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Anadarko Petroleum Corp.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.95%, 9/15/16</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 1,686</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,949,259</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.38%, 9/15/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">52</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">61,797</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Berry Petroleum Co., 6.38%, 9/15/22</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">705</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">733,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BP Capital Markets Plc (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 11/07/13</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,234,711</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.88%, 3/10/15</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,085</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,304,211</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Buckeye Partners LP, 4.88%, 2/01/21 (c)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,704,458</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chesapeake Midstream Partners LP:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.88%, 4/15/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">980</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">931,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.13%, 7/15/22</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">785</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">755,563</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chesapeake Oilfield Operating LLC,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.63%, 11/15/19 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">70</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">65,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Concho Resources, Inc., 5.50%, 10/01/22</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CONSOL Energy, Inc., 6.38%, 3/01/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">745</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Copano Energy LLC, 7.13%, 4/01/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">930</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">981,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DCP Midstream LLC, 4.75%, 9/30/21 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,267,721</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">El Paso Pipeline Partners Operating Co. LLC:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 4/01/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,900,455</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 10/01/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">950,803</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enbridge Energy Partners LP, 9.88%, 3/01/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,425</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,271,230</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,755,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enterprise Products Operating LLC, 6.65%, 4/15/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,811,854</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Everest Acquisition LLC/Everest Acquisition</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Finance, Inc., 6.88%, 5/01/19 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">565</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">593,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Forest Oil Corp., 8.50%, 2/15/14</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,055</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,209,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kinder Morgan Energy Partners LP:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.85%, 2/15/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,805,072</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.95%, 9/01/22</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,517,618</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kodiak Oil &amp; Gas Corp., 8.13%, 12/01/19 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">380</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">402,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Linn Energy LLC:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 11/01/19 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,865</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,837,025</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.75%, 2/01/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">791,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Marathon Petroleum Corp., 3.50%, 3/01/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,360,063</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MarkWest Energy Partners LP, 6.25%, 6/15/22</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">880</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">926,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Newfield Exploration Co., 6.88%, 2/01/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,009,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nexen, Inc., 6.40%, 5/15/37</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,270</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,519,736</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Oasis Petroleum, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.25%, 2/01/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">560</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">593,600</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/01/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">505</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">515,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">OGX Petroleo e Gas Participacoes SA,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 6/01/18 (a)(c)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,495</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,588,563</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ONEOK Partners LP, 8.63%, 3/01/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,328,955</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petrobras International Finance Co.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.88%, 1/27/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,438,029</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.38%, 1/27/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,970,934</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petrohawk Energy Corp., 10.50%, 8/01/14</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,020</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,132,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">865</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">895,275</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Phillips 66, 2.95%, 5/01/17 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,755</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,800,844</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pioneer Natural Resources Co.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.65%, 3/15/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,080</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,225,223</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 5/01/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">820</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">965,330</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Plains Exploration &amp; Production Co.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.00%, 3/01/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">770,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 2/01/22</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">95</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">98,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Precision Drilling Corp., 6.50%, 12/15/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">728,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Premier Oil Plc, 5.00%, 6/09/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,833,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Range Resources Corp., 6.75%, 8/01/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,415</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,535,275</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ruby Pipeline LLC, 6.00%, 4/01/22 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,017,257</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Samson Investment Co., 9.75%, 2/15/20 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,043,750</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SandRidge Energy, Inc.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 3/15/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">330</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">333,300</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 10/15/22 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">337,188</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SM Energy Co.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.63%, 2/15/19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">365</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">385,075</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">570</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">601,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Targa Resources Partners LP, 6.88%, 2/01/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">820</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">856,900</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 43 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tennessee Gas Pipeline Co., 8.00%, 2/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,376</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,603,996</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Western Gas Partners LP, 5.38%, 6/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,754,901</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Williams Cos., Inc., 8.75%, 3/15/32</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,587,573</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">100,991,319</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Paper &amp; Forest Products &#151; 2.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Boise Paper Holdings LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">480</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">534,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 4/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,070</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,179,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,375</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,624,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">International Paper Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 8/15/21 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,014,726</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.70%, 6/15/38</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,223,087</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.30%, 11/15/39</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,042,218</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 6/01/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">545</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">550,450</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,168,531</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Pharmaceuticals &#151; 2.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Merck &amp; Co., Inc., 6.50%, 12/01/33 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,885</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,978,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pfizer, Inc., 7.20%, 3/15/39 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,980</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,319,742</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Roche Holdings, Inc., 7.00%, 3/01/39 (a)(c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,020</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,286,337</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 7/15/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">450</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">466,312</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,050,541</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Investment Trusts (REITs) &#151; 2.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,075</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,851,907</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Developers Diversified Realty Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.75%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,025</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,061,976</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 9/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,591,263</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ERP Operating LP, 5.75%, 6/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,080</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,695,937</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HCP, Inc., 5.38%, 2/01/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,845,379</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UDR, Inc., 4.25%, 6/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,842,487</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,880</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,938,216</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">18,827,165</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Management &amp; Development &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Realogy Corp. (a)(c):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.88%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">940</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">921,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.63%, 1/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,025</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,063,437</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Shea Homes LP, 8.63%, 5/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">805</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">839,213</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,823,850</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Road &amp; Rail &#151; 1.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avis Budget Car Rental LLC, 8.25%, 1/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">180</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">188,550</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Florida East Coast Railway Corp., 8.13%, 2/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">328,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Hertz Corp., 6.75%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">564</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">588,675</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,853,931</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,959,956</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Advanced Micro Devices, Inc., 7.75%, 8/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,433,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">KLA-Tencor Corp., 6.90%, 5/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,208</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,671,704</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,104,954</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Software &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lawson Software, Inc., 9.38%, 4/01/19 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">870</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">909,150</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Specialty Retail &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AutoNation, Inc., 6.75%, 4/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,010,875</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Limited Brands, Inc., 7.00%, 5/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,370</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,520,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">QVC, Inc., 7.38%, 10/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">191,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sally Holdings LLC, 6.88%, 11/15/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">990</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,054,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">VF Corp., 5.95%, 11/01/17 (c)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,450</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,924,298</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,701,848</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Tobacco &#151; 2.6%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Altria Group, Inc., 10.20%, 2/06/39</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 6,607</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 10,585,570</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lorillard Tobacco Co., 3.50%, 8/04/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,150</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,348,669</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Philip Morris International, Inc., 2.50%, 5/16/16 (c)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,416,010</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,350,249</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services &#151; 5.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">America Movil SAB de CV, 2.38%, 9/08/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,455</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,607,947</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Tower Corp.:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 1/15/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,378,992</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.90%, 11/01/21</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,180</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,450,455</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%, 5/15/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">780</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">820,950</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Castle International Corp., 9.00%, 1/15/15</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,185</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,309,425</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Castle Towers LLC (a):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 1/15/37</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,975</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,180,627</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.17%, 8/15/37</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,093,476</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.11%, 1/15/40</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,330</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,660,795</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nextel Communications, Inc., Series E,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 10/31/13</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,040</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,040,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SBA Tower Trust, 5.10%, 4/15/42 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,801,294</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sprint Capital Corp., 6.88%, 11/15/28</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,233,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/15/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,535,012</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,390</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,477,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">39,590,148</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Corporate Bonds &#151; 105.0%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">785,552,025</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Preferred Securities</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Capital Trusts</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 3.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">State Street Capital Trust III, 5.46% (b)(f)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,740</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,746,821</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">State Street Capital Trust IV, 1.47%, 6/01/37 (b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">28,195</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">20,981,958</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">22,728,779</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks &#151; 5.6%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays Bank Plc, 7.43% (a)(b)(c)(f)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,100,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BB&amp;T Capital Trust IV, 6.82%, 6/12/77 (b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,453,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas, 7.20% (a)(b)(c)(f)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,150,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Agricole SA, 8.38% (a)(b)(c)(f)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,450</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,156,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,715</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,990,575</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HSBC Capital Funding LP/Jersey Channel Islands,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.18% (a)(b)(c)(f)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,100,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">National City Preferred Capital Trust I, 12.00% (b)(f)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,713</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,952,117</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Standard Chartered Plc, 7.01% (a)(b)(f)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,802,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">41,704,317</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Consumer Finance &#151; 0.2%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capital One Capital V, 10.25%, 8/15/39</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,275</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,329,187</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 3.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase Capital XXI, Series U,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.49%, 2/02/37 (b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,875</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,534,169</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase Capital XXIII, 1.50%, 5/15/47 (b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">20,695</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,314,735</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">24,848,904</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electric Utilities &#151; 0.5%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">PPL Capital Funding, 6.70%, 3/30/67 (b)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,900</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,861,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance &#151; 8.2%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ace Capital Trust II, 9.70%, 4/01/30</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,467,168</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Allstate Corp., 6.50%, 5/15/67 (b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,910,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American General Capital II, 8.50%, 7/01/30</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">327,902</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American International Group, Inc., 8.18%, 5/15/68 (b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,389,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aon Corp., 8.21%, 1/01/27</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,673,312</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Capital Trusts</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">
     <B>Value</B>
    </TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance (concluded)</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AXA SA, 6.46% (a)(b)(f)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">6,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$ </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%">4,875,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chubb Corp., 6.38%, 3/29/67 (b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,095,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,440,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lincoln National Corp., 7.00%, 5/17/66 (b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,255</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,127,350</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MetLife, Inc., 6.40%, 12/15/66</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,450,874</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Mitsui Sumitomo Insurance Co., Ltd.,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/15/72 (a)(b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,360</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,424,734</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Northwestern Mutual Life Insurance,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.06%, 3/30/40 (a)(c)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,553,145</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reinsurance Group of America, 6.75%, 12/15/65 (b)(c)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,477,121</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Swiss Re Capital I LP, 6.85% (a)(b)(f)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,758,959</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ZFS Finance (USA) (a)(b):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Trust II, 6.45%, 12/15/65</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,773,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Trust IV, 5.88%, 5/09/62</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">599</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">599,749</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">61,342,689</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 1.2%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,882,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,175,568</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,058,068</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Capital Trusts &#151; 22.0%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">164,872,944</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Preferred Stocks</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Shares</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dana Holding Corp., 4.00% (a)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">877,625</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.4%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc., 7.00% (a)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,640</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,089,450</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Investment Trusts (REITs) &#151; 1.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sovereign Real Estate Investment Trust, 12.00% (a)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,797,020</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Thrifts &amp; Mortgage Finance &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fannie Mae, 8.25%, Series S (b)(g)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">28,290</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freddie Mac, 8.38%, Series Z (b)(g)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">28,750</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">57,040</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services &#151; 1.6%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Centaur Funding Corp., 9.08% (a)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,850,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Preferred Stocks &#151; 3.2%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,671,135</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Trust Preferreds &#151; 0.3%</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">GMAC Capital Trust I, Series 2, 8.13% (b)</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">89,130</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,096,443</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Preferred Securities &#151; 25.5%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">190,640,522</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Taxable Municipal Bonds</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">City of Chicago Illinois, RB, Build America Bonds,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.85%, 1/01/38</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,618,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Metropolitan Transportation Authority, RB, Build America</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bonds, 6.55%, 11/15/31</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,075</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,998,028</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Taxable Municipal Bonds &#151; 1.4%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,616,528</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>US Government Sponsored Agency Securities &#151; 0.3%</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Agency Obligations &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fannie Mae, 4.23%, 10/09/19 (c)(h)</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,765</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,226,198</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>US Treasury Obligations</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Bonds (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.75%, 8/15/41</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 945</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%"> 1,066,963</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.13%, 11/15/41</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,935</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,947,297</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Treasury Notes (c):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.88%, 12/31/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,377</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,414,867</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.88%, 1/31/17</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,031,872</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total US Treasury Obligations &#151; 2.3%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,460,999</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Long-Term Investments</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $978,835,280) &#151; 135.7%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,015,453,582</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Short-Term Securities</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Shares</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds, TempFund,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Institutional Class, 0.15% (i)(j)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,310,288</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,310,288</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Short-Term Securities</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $2,310,288) &#151; 0.3%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,310,288</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Options Purchased</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Contracts</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Exchange-Traded Put Options &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">S&amp;P 500 Index, Strike Price USD 1,200.00,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Expires 6/16/12</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">472</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">122,720</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Options Purchased</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Call Swaptions &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.40% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 5/11/12,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 9,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">324</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 4/05/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">815,123</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 1/13/14,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">83,149</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">898,596</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Interest Rate Put Swaptions &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 2.61% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, expires 4/05/13,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">370,126</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 2.61% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 1/13/14,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Credit Suisse Securities (USA) LLC</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,900</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">76,615</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.50% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 2/02/17,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">268,512</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">715,253</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Purchased</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $3,399,654) &#151; 0.2%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,736,569</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments Before Options Written</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $984,545,222) &#151; 136.2%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,019,500,439</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Options Written</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Contracts</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Call Options &#151; (0.0)%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">S&amp;P 500 Index, Strike Price USD 1,450.00,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Expires 6/15/12, Broker Deutsche Bank AG</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,800</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(86,029</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 45 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Options Written</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Notional</B><BR>
<B>Amount</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: #394c87"><B>Over-the-Counter Interest Rate Call Swaptions &#151; (0.4)%</B></FONT></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pay a fixed rate of 4.75% and receive a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 3/24/14,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 17,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%"> (3,288,942</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">)&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: #394c87"><B>Over-the-Counter Interest Rate Put Swaptions &#151; (0.1)%</B></FONT></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 1.75% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 8/23/12,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">37,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(50,982</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 4.75% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 3/24/14,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Citibank NA</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(102,988</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Receive a fixed rate of 6.00% and pay a floating rate</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">based on 3-month LIBOR, Expires 2/02/17,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Broker Deutsche Bank AG</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">16,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(237,552</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(391,522</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Written</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Premiums Received &#151; $2,606,390) &#151; (0.5)%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(3,766,493</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments, Net of Options Written &#151; 135.7%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,015,733,946</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities in Excess of Other Assets &#151; (35.7)%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(267,418,446</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Net Assets &#151; 100.0%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 748,315,500</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>                                                                                                                             <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD>Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD>Variable rate security. Rate shown is as of report date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(c)</TD><TD STYLE="width: 5pt"></TD><TD>All or a portion of security has been pledged as collateral in connection with open
reverse repurchase agreements.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(d)</TD><TD STYLE="width: 5pt"></TD><TD>Represents a step-down bond that pays an initial coupon rate for the first period
and then a lower coupon rate for the following periods. Rate shown is as of report date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(e)</TD><TD STYLE="width: 5pt"></TD><TD>Represents a payment-in-kind security which may pay interest/dividends in additional
par/shares.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(f)</TD><TD STYLE="width: 5pt"></TD><TD>Security is perpetual in nature and has no stated maturity date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(g)</TD><TD STYLE="width: 5pt"></TD><TD>Non-income producing
security.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(h)</TD><TD STYLE="width: 5pt"></TD><TD>Represents a zero-coupon bond. Rate shown reflects the current yield as of report
date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(i)</TD><TD STYLE="width: 5pt"></TD><TD>Investments in companies considered to be an affiliate of the Fund during the period,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Affiliate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Shares Held at</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Net</B><BR>
<B>Activity</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Shares Held at</B><BR>
<B>April 30,</B><BR>
<B>2012</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Income</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Funds, TempFund,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Institutional Class</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3,823,108</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1,512,820)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">2,310,288 </TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$3,544</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(j)</TD><TD STYLE="width: 5pt"></TD><TD>Represents the current yield as of report date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>For Fund compliance purposes, the Fund&rsquo;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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Reverse repurchase agreements outstanding as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">



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

    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Interest</B><BR>

<B>Rate</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Trade <BR>
      Date</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Maturity <BR>
      Date</B></TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Net Closing</B><BR>

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

<B>Amount</B></TD>
  </TR>



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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 11%">(0.50)%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 12%">1/17/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 12%">Open</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%"> 746,210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 14%"> 747,300</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1.25)%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/02/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">866,003</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">868,687</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/07/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,787,066</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,775,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.37%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/07/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,062,943</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,050,813</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/07/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,466,911</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,451,438</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Merrill Lynch</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.04%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/13/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,015,521</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,015,000</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/14/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,206,143</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,201,500</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/17/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,463,669</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,459,405</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/22/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,432,437</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,428,125</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2/29/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,174,810</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,173,500</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/02/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,071,625</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,071,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.25%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/05/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">356,541</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">356,400</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(0.25)%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/07/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,637,455</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,638,461</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/12/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,595,529</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,594,687</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,860,048</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">19,849,781</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.32%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,912,203</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,910,500</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/13/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,173,225</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,169,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.08%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/14/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,837,495</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,836,625</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.30%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,779,547</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,776,125</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,635,184</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,633,700</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/21/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,540,340</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,538,531</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/22/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,887,115</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,884,438</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/23/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">690,340</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">690,079</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/27/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,410,195</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,409,375</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/27/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,234,460</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,231,050</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/03/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,364,523</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,358,163</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1.00)%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/03/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,079,429</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,080,269</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.10%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/16/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,218,051</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,218,000</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/18/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,515,660</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,515,469</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/18/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,574,581</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,574,227</TD>
  </TR>


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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/23/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,525,819</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,525,700</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.34%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/23/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,054,656</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,054,350</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.15%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,198,239</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,198,175</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,253,562</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,253,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.37%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,732,394</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">17,731,119</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BNP Paribas</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Securities Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.39%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,262,247</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,262,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.00%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">387,150</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">387,150</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 46 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->45<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Reverse repurchase agreements outstanding as of April 30, 2012 were as follows (concluded):</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Interest</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Trade</B><BR>
<B>Date</B></TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Maturity</B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Net Closing</B><BR>
<B>Amount</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Face</B><BR>
<B>Amount</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.12%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 6,424,977</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 3%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 6,424,828</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.34%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/24/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,712,429</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,712,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">22,756,141</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">22,754,813</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.38%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/25/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,862,161</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">23,860,650</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.35%</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">921,245</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">921,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">0.25%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/26/12</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Open</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,413,688</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,413,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">282,099,967</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">282,005,383</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Financial futures contracts purchased as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; vertical-align: bottom"><B>Contracts </B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Issue</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Exchange</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Expiration</B></TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Notional</B><BR>

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

<B>Appreciation</B></TD>
  </TR>

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

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;&nbsp;10</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2-Year US</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">June</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 60pt; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Treasury Note</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2012</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt; width: 8%">2,205,469</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 2,294</TD>
  </TR>

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

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;&nbsp;70</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">30-Year US</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">June</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Treasury Bond</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2012</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">10,001,250</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">468,010</TD>
  </TR>

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

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">301</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">5-Year US</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">June</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Treasury Note</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">2012</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">37,262,859</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">159,955</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px; vertical-align: bottom"><B>Total</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 630,259</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Financial futures contracts sold as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Contracts </B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Issue</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Exchange</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><BR>

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

<B>Depreciation</B></TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt">764</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">10-Year US</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">June</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt; width: 60pt">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Treasury Note</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">of Trade</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">2012 </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt; width: 8%">101,062,875</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%">(1,648,043)</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt">142</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Ultra Long Term</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Chicago Board</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">June</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-right: 30pt">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">US Treasury Bond</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Trade</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">2012 </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">22,409,375</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(754,434)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(2,402,477)</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Credit default swaps on single-name issues &#151; buy protection outstanding as of
April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">



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

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

<B>Fixed</B><BR>

<B>Rate</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Expiration</B><BR>

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

<B>Amount <BR>
      </B><B>(000)</B></TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Unrealized</B><BR>

<B>Depreciation</B></TD>
  </TR>



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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southwest</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Goldman Sachs</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif; height: 15px">Airlines Co.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; height: 15px">1.00%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; height: 15px">&amp; Co.</TD>
    <TD STYLE="height: 15px; text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16 </TD>
    <TD STYLE="height: 15px; text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD </TD>
    <TD STYLE="height: 15px; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt; width: 8%">1,965</TD>
    <TD STYLE="height: 15px; text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="height: 15px; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> (49,284)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Southwest</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Royal Bank of</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Airlines Co.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Scotland Plc</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">12/20/16 </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt">1,965</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(56,923)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Time</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Warner</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Inc.</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 20pt">12,300</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(11,046)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> (117,253)</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Credit default swaps on single-name issues &#151; sold protection outstanding as of
April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">





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

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

<B>Fixed</B><BR>

<B>Rate</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counter-  <BR>
      party</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Expiration <BR>
      Date</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Issuer <BR>
      Credit <BR>
      Rating</B><B><SUP>1</SUP></B></TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Notional</B><BR>

<B>Amount <BR>
      </B><B>(000)</B><B><SUP>2 </SUP></B></TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Unrealized</B><BR>

<B>Appreciation <BR>
      </B><B>(Depreciation)</B></TD>
  </TR>



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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; height: 17px">Aviva USA</TD>
    <TD STYLE="height: 17px; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; height: 17px">Deutsche</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; height: 17px">&nbsp;</TD>
    <TD STYLE="height: 17px; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; height: 17px">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; height: 17px">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Corp.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/25/12</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">A </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt; width: 8%">4,525</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> (59)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DIRECTV</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Holdings</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/17</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">BBB </TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">12,300</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">207,508&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MetLife,</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Inc.</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">1.00%</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/20/18</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">A- </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">1,500</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(31,316)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> 176,133&nbsp;</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Using S&amp;P&rsquo;s rating.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of agreement.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Credit default swaps on traded indexes &#151; sold protection outstanding as of April
30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">





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

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

<B>Fixed</B><BR>

<B>Rate</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counter- <BR>
      party</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Expiration <BR>
      Date </B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B> Credit <BR>
      Rating</B><B><SUP>3</SUP></B></TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Notional <BR>
      Amount <BR>
      (000)</B><B><SUP>4</SUP></B></TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Unrealized</B><BR>

<B>Appreciation</B></TD>
  </TR>



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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dow Jones</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">CDX North</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">America High</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Yield Index</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Series 18,</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; text-indent: 12pt">Version 1</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">5.00%</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">(USA) LLC</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">6/20/17 </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">B+ </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt; width: 8%">3,080</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 46,622</TD>
  </TR>
</TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt">                                                                                                                           <TR STYLE="vertical-align: top">
<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"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Using S&amp;P&rsquo;s rating of the underlying securities.</TD>
</TR>
</TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of agreement.</TD>
</TR></TABLE><BR>
<BR>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Interest rate swaps outstanding as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">





  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Fixed</B><BR>

<B>Rate</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Floating</B><BR>

<B>Rate</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Counter-</B><BR>

<B>party</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Expiration</B><BR>

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

<B>Amount <BR>
      </B><B>(000)</B><B> </B></TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Unrealized</B><BR>

<B>Appreciation <BR>
      (Depreciation)</B></TD>
  </TR>



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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.17%<SUP>5</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities (USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/11/17</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt; width: 8%">20,000 </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> (84,273)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.18%<SUP>5</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/11/17</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">33,000</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(155,017)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.35%<SUP>5</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">3/19/22</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">10,700</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(314,894)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.06%<SUP>5</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Deutsche</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Bank AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">4/18/22</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">9,500</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,435,854)</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.05%<SUP>6</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities (USA) LLC</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/02/22</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">9,800</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.05%<SUP>6</SUP></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">3-month</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Credit Suisse</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIBOR</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities (USA) LLC</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">5/02/22</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">6,500</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,311&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Total</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; padding-right: 10pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(1,986,727)</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Fund pays a fixed interest rate and receives floating rate.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Fund pays a floating interest rate and receives fixed rate.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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:</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Level 1 &#151; unadjusted price quotations in active markets/exchanges for identical
assets and liabilities</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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)</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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&rsquo;s own assumptions used in determining
the fair value of investments and derivative financial instruments) </TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; margin-left: 33pt">Changes in valuation techniques may result in transfers
into 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 is not necessarily an indication of the risks associated with investing in those securities. For information about the
Fund&amp;rsquo;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-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 47 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->46<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Schedule of Investments (concluded)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR></TABLE><BR>
<P STYLE="font-family: Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">The
following tables summarize the inputs used as of April 30, 2012 in determining the fair valuation of the Fund&rsquo;s investments
and derivative financial instruments:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Level 1</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Level 2</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Level 3</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Long-Term</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt; width: 52%">Asset-Backed Securities</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">5,239,310</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">3,718,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">8,957,310</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Corporate Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">779,718,400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,833,625</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">785,552,025</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Preferred Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">2,153,483</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">188,487,039</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">190,640,522</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Taxable Municipal Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,616,528</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,616,528</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">US Government Sponsored</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">Agency Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,226,198</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,226,198</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">US Treasury Obligations </TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,460,999</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,460,999</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Short-Term Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">2,310,288</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">2,310,288</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">4,463,771</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">1,003,748,474</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">9,551,625</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">1,017,763,870</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1px; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid"><B>Level 1</B></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid"><B>Level 2</B></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid"><B>Level 3</B></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid"><B>Total</B></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Derivative Financial Instruments<SUP>1</SUP></TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Equity contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">122,720</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">122,720</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Interest rate contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">630,259</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,617,160</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,247,419</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Credit contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">254,130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">254,130</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><B>Liabilities</B>:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Equity contracts</TD><TD STYLE="text-align: left; text-indent: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(86,029</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(86,029</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Interest rate contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,402,477</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5,670,502</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(8,072,979</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Credit contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(148,569</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(59</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(148,628</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(1,649,498</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(4,033,810</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(59</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(5,683,367</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="font-family: Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">The
following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining
fair value:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Asset-Backed<BR> Securities</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Corporate<BR> Bonds</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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 STYLE="vertical-align: bottom">
    <TD STYLE="width: 52%; text-align: left">Balance, as of October 31, 2011</TD><TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">3,410,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">5,876,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">9,286,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31,109</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31,109</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">276,891</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(42,375</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">234,516</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers in<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Transfers out<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Balance, as of April 30, 2012</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">3,718,000</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">5,833,625</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">9,551,625</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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 April 30, 2012 was $6,110,516.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The Fund&rsquo;s policy is to recognize transfers in and transfers out as of the beginning
of the period of the event or the change in circumstances that caused the transfer.</TD>
</TR></TABLE>
<P STYLE="font-family: Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">The
following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were
used in determining fair value:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Credit<BR> Contracts</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 80%; text-align: left">Balance, as of October 31, 2011</TD><TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 13%; text-align: right">8,182</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,656</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation<SUP>4</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(8,241</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Issuances<SUP>5</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Settlements<SUP>6</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(14,656</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers in<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Transfers out<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Balance, as of April 30, 2012</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(59</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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
April 30, 2012 was $(8,241).</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Issuances represent upfront cash received on certain derivative financial instruments.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Settlements represent periodic contractual cash flows and/or cash flows to terminate
certain derivative financial instruments.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 8pt; text-align: right"></TD><TD STYLE="width: 5pt"></TD><TD>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 period in relation to
                                                                            net assets.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 48 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->47<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: left; vertical-align: top; width: 55%"><FONT COLOR=#394c87>Consolidated Schedule of Investments </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">April&nbsp;30,&nbsp;2012 (Unaudited)</FONT></TD>
     <TD NOWRAP STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right; vertical-align: bottom; width: 45%"><P STYLE="margin-bottom: 3pt"><B><FONT COLOR=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></P>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Asset-Backed Securities</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ARES CLO Funds, Series 2005-10A, Class B,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.86%, 9/18/17 (a)(b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%"> 1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 937,310</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Canaras Summit CLO Ltd., Series 2007-1A, Class B,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.95%, 6/19/21 (a)(b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">930</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">805,566</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chatham Light CLO Ltd., Series 2005-2A, Class A2,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.94%, 8/03/19 (a)(b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">900,000</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Flagship CLO, Series 2006-1A, Class B,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.82%, 9/20/19 (a)(b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,196</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">935,870</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Franklin CLO Ltd., Series 6A, Class B,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.97%, 8/09/19 (a)(b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,180</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,007,130</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Fraser Sullivan CLO Ltd., Series 2012-7A, Class C,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.47%, 4/20/23 (a)(b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">575</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">511,290</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Gannett Peak CLO Ltd., Series 2006-1X, Class A2,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.83%, 10/27/20 (b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">715</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">586,300</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Goldentree Loan Opportunities VI Ltd., Series 2012-6A,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Class D, 4.61%, 4/17/22 (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">866,115</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Greyrock CDO Ltd., Series 2005-1X, Class A2L,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.92%, 11/15/17</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,495</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,296,763</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Landmark CDO Ltd., Series 2006-8A, Class B,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.83%, 10/19/20 (a)(b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,335</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,112,763</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MAPS CLO Fund LLC, Series 2005-1A, Class C,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.42%, 12/21/17 (a)(b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">705</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">664,462</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Race Point CLO, Series 2012-6A, Class D,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.97%, 5/24/23 (a)(b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">631,991</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Symphony CLO Ltd., Series 2012-9A, Class D,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.62%, 4/16/22 (a)(b)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">708,436</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">1.07%, 7/15/19 (a)(b)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">815</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">719,278</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Asset-Backed Securities &#151; 3.5%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,683,274</TD>
  </TR>

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

    <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Common Stocks (c)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Shares</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.8%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delphi Automotive Plc (180-day lock)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(Acquired 11/17/11, cost $500,143)(d)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">87,569</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,665,086</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Construction &amp; Engineering &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USI United Subcontractors</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,645</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,289</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Hotels, Restaurants &amp; Leisure &#151; 0.2%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">BLB Worldwide Holdings, Inc.</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">50,832</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">632,858</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Metals &amp; Mining &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Euramax International</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,135</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">329,208</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Paper &amp; Forest Products &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ainsworth Lumber Co. Ltd.</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">55,255</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">69,918</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ainsworth Lumber Co. Ltd. (a)</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">62,685</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">79,320</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">149,238</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Software &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions, Inc.</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,947</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">383</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HMH Holdings/EduMedia</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">115,632</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">8,673</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,056</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Common Stocks &#151; 1.1%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,800,735</TD>
  </TR>

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

    <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Airlines &#151; 0.1%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust, Series 2011-2,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Class A, 8.63%, 4/15/23</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">335</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">353,230</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.7%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Icahn Enterprises LP:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; text-indent: 12pt">7.75%, 1/15/16</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,515</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,594,537</TD>
  </TR>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; text-indent: 12pt">8.00%, 1/15/18</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">660</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">705,375</TD>
  </TR>

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,299,912</TD>
  </TR>
</TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-indent: 5px; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Beverages &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Central European Distribution Corp., 3.32%, 5/15/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,713,530</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Refresco Group BV, 5.06%, 5/15/18 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">595,665</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,309,195</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Building Products &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Grohe Holding GmbH, 4.88%, 9/15/17 (a)(b)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">700</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">889,527</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">E*Trade Financial Corp., 0.01%, 8/31/19 (a)(e)(f)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">439</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">459,304</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Chemicals &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hexion US Finance Corp., 6.63%, 4/15/20 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">650</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">679,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ineos Finance Plc (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.38%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">285</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">305,663</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.50%, 5/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">430</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">441,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,426,738</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Banks &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc., 7.00%, 5/02/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">401,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">VTB Bank OJSC Via VTB Capital SA, 6.88%, 5/29/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,940</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,157,527</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,558,527</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Services &amp; Supplies &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">538</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">557,269</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Consumer Finance &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,015</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,091,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Containers &amp; Packaging &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ardagh Packaging Finance Plc:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">558,602</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">300</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">418,951</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">GCL Holdings SCA, 9.38%, 4/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">329</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">389,770</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Smurfit Kappa Acquisitions (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.25%, 11/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">355</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">498,108</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.75%, 11/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">416</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">589,206</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,454,637</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc., 2.69%, 12/01/14 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">795</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">754,163</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.13%, 4/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">325</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">339,625</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">490</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">504,700</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,598,488</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Telecommunication Services &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">ITC Deltacom, Inc., 10.50%, 4/01/16</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">530</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">567,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Energy Equipment &amp; Services &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Compagnie Generale de Geophysique - Veritas,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.75%, 5/15/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,795</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,866,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Providers &amp; Services &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Newco 3 Plc, 7.00%, 2/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">GBP</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,712,271</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HCA, Inc., 6.50%, 2/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,055</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,128,850</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp., 6.25%, 11/01/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">495</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">514,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,355,921</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Hotels, Restaurants &amp; Leisure &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">MGM Resorts International, 11.13%, 11/15/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,050</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,189,125</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Household Durables &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Beazer Homes USA, Inc., 12.00%, 10/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,135</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,232,184</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Berkline/Benchcraft LLC, 4.50%, 11/03/12 (c)(g)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">400</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,232,184</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Independent Power Producers &amp; Energy Traders &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Calpine Corp., 7.25%, 10/15/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">125</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">133,437</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Future Holdings Corp., 10.00%, 1/15/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">725</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">789,344</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co. LLC,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; text-indent: 6pt">10.00%, 12/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,525</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,786,969</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,709,750</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 49 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->48<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Consolidated Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Machinery &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">KION Finance SA, 5.01%, 4/15/18 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">3,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 3,593,846</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UR Financing Escrow Corp., 5.75%, 7/15/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">210</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">216,825</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,810,671</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Media &#151; 4.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Clear Channel Worldwide Holdings, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.25%, 12/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">501</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">546,716</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Series B, 9.25%, 12/15/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,704</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,868,010</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kabel BW Erste Beteiligungs GmbH, 5.13%,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3/15/18 (a)(b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,667,256</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Odeon &amp; UCI Finco Plc, 9.00%, 8/01/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">GBP</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">914</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,453,664</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Germany GmbH):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 12/01/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">696,598</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.13%, 12/01/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,681,250</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Virgin Media Secured Finance Plc, 7.00%, 1/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">GBP</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,197</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,073,737</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ziggo Finance BV, 6.13%, 11/15/17 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,005</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,410,138</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,397,369</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Metals &amp; Mining &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">New World Resources NV, 7.88%, 5/01/18</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">285</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">377,255</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 3.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">342</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">365,085</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Everest Acquisition LLC/Everest Acquisition Finance, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 5/01/19 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">440</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">462,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Gazprom OAO Via RBS AG, 9.63%, 3/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,230</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,432,133</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">KazmunaiGaz Finance Sub BV, 8.38%, 7/02/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,588,110</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">OGX Petroleo e Gas Participacoes SA,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 6/01/18 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,660,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petroleos de Venezuela SA, 5.25%, 4/12/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,105,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,612,328</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Paper &amp; Forest Products &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(h)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">545</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">441,635</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging, Inc.,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.00%, 6/01/16 (a)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">420</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">424,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">865,835</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Pharmaceuticals &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 7/15/16 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">235</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">243,519</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Management &amp; Development &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Realogy Corp., 7.63%, 1/15/20 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">445</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">461,688</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Specialty Retail &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">House of Fraser Funding Plc, 8.88%, 8/15/18 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">GBP</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">349</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">519,665</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Transportation Infrastructure &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aguila 3 SA, 7.88%, 1/31/18 (a)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">CHF</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,100</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,266,457</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services &#151; 2.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%, 5/15/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,950</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,052,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">iPCS, Inc., 2.67%, 5/01/13 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,155</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,120,350</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Matterhorn Mobile SA, 6.34%, 5/15/19 (b)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,030,667</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">790</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">869,988</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,460</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,489,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,562,580</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Corporate Bonds &#151; 21.4%</B></TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">72,036,199</TD></TR>
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests (b)</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Aerospace &amp; Defense &#151; 1.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DynCorp International, Term Loan B, 6.25%, 7/07/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">491</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">490,205</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SI Organization, Inc., New Term Loan B, 4.50%, 11/22/16</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,080</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,045,746</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Spirit Aerosystems, Inc., Term Loan B, 1.00%, 4/18/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,085</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,086,628</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests (b)</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Aerospace &amp; Defense (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">TransDigm, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Add-On Term Loan B2, 4.00%, 2/14/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">454</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 454,089</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan (First Lien), 4.00%, 2/14/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,975</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,974,388</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Wesco Aircraft Hardware Corp., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.25%, 4/07/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">818</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">818,729</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,869,785</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Airlines &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Credit New Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 4/20/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,640</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,641,269</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 3.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Allison Transmission, Inc., Term Loan B, 2.74%, 8/07/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,790,842</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Autoparts Holdings Ltd., First Lien Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.50%, 7/28/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,642</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,613,020</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Federal-Mogul Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.18%, 12/29/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,706</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,651,255</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 2.18%, 12/28/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">477</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">461,192</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Goodyear Tire &amp; Rubber Co., Term Loan</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(Second Lien), 1.00%, 4/30/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,785</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,759,332</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">GPX International Tire Corp. (c)(g):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">14.00%, 3/30/12</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.00</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">12.25%, 3/31/12</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">274</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">0.00</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Schaeffler AG, Term Loan C2, 6.00%, 1/27/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,200</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,203,852</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UCI International, Inc., Term Loan, 5.50%, 7/26/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">938</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">941,061</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,420,554</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Beverages &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Le-Nature&rsquo;s, Inc, Tranche B Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.50%, 3/01/11 (c)(g)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Biotechnology &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Grifols SA, Term Loan B, 4.50%, 6/01/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,864</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,863,854</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Building Products &#151; 2.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Armstrong World Industries, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 3/09/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,061</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,059,903</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CPG International I, Inc., Term Loan B, 6.00%, 2/18/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,123</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,031,512</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Goodman Global, Inc., Initial Term Loan (First Lien),</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 10/28/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,714</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,729,466</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Momentive Performance Materials, Inc. (Blitz 06-103</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">GmbH), Tranche B-2B Term Loan, 3.90%, 5/05/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">810</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,022,207</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">United Subcontractors, Inc., Term Loan (First Lien),</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.58%, 6/30/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">196</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">176,139</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,019,227</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Capital Markets &#151; 1.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Capital Ltd., Term Loan B, 7.50%, 12/31/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">168</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">165,994</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HarbourVest Partners LLC, Term Loan (First Lien),</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 12/16/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,998</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000,905</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nuveen Investments, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(First Lien) Term Loan, 5.74% &#150; 5.97%, 5/12/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,773</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,772,939</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(First Lien) Extended Term Loan, 5.97%, 5/13/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">750,332</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan, 7.25%, 5/13/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">425</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">427,019</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,117,189</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Chemicals &#151; 6.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">American Rock Salt Holdings LLC, Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.50%, 4/25/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,609</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,551,442</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,809,900</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Gentek, Inc., Term Loan B, 5.00%, 10/06/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,302</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,304,381</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ineos US Finance LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3 Year Term Loan, 5.50%, 4/27/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">235</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">235,588</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5 Year Term Loan, 6.50%, 4/27/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,660</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,684,975</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MDI Holdings LLC, Tranche C Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.60%, 4/11/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,358</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,776,524</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,386</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,355,965</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">PolyOne Corp., Term Loan, 5.00%, 9/08/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">484</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">484,997</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Loan (First Lien), 3.99%, 7/30/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,302</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,244,290</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Styron Sarl LLC, Term Loan B, 6.00%, 8/02/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">614</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">572,185</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 50 -->
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Consolidated Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests (b)</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Chemicals (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tronox Worldwide LLC, Term Loan B, 4.25%, 2/08/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,705</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,707,370</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Univar, Inc., Term Loan B, 5.00%, 6/30/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,351</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,354,077</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">22,081,694</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Commercial Services &amp; Supplies &#151; 3.7%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ACCO Brands Corp., Term Loan B, 1.00%, 3/08/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,185</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,192,276</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Altegrity, Inc. (FKA US Investigations Services, Inc.),</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tranche D Term Loan, 7.75%, 2/20/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,827,076</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AWAS Finance Luxembourg Sarl, Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 6/10/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,455</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,464,943</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,175</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,181,808</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">KAR Auction Services, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 5/19/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,184</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,193,064</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Synagro Technologies, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.24% &#150; 2.25%, 4/02/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,728</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,556,238</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Volume Services America, Inc. (FKA Centerplate),</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 10.50% &#150; 11.75%, 9/16/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,207</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,209,267</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,624,672</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Communications Equipment &#151; 2.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.24%, 10/24/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,073</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,053,337</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 4.99%, 10/26/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">404</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">390,977</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CommScope, Inc., Term Loan B, 4.25%, 1/14/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,755</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,754,754</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Telesat Canada, Term Loan A, 4.25%, 3/24/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CAD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,670</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,532,596</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,731,664</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Construction &amp; Engineering &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BakerCorp. International, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.75%, 6/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">680</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">679,863</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Safway Services LLC, First Out Tranche Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.00%, 12/16/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,100,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,779,863</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Construction Materials &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,745</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,757,622</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Consumer Finance &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Springleaf Finance Corp. (FKA AGFS Funding Co.),</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 5.50%, 5/10/17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,160</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,888,016</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Containers &amp; Packaging &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sealed Air Corp., Term Loan B, 4.75%, 10/03/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,606</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,622,082</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Smurfit Kappa Acquisitions:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B4, 4.03% &#150; 4.63%, 6/30/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">456</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">603,628</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan C4, 4.22% &#150; 4.74%, 3/31/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">450</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">599,789</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,825,499</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Consumer Services &#151; 4.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Coinmach Service Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term Loan, 3.24%, 11/20/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">485</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">449,400</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 3.24%, 11/20/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,218</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,055,131</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Education Management LLC, Term Loan C3,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.25%, 3/29/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">823,193</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Laureate Education, Inc., Series A, Extended Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 8/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,638</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,576,243</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Protection One Alarm Monitoring, Inc., Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 3/16/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,360</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,360,571</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ServiceMaster Co.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term Loan, 2.74%, 7/24/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">252</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">248,719</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.75% &#150; 2.99%, 7/24/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,527</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,497,662</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Weight Watchers International, Inc., Term Loan F,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 3/12/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,315</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,313,820</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,324,739</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Holdings, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.75%, 2/09/18</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,897</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,453,317</TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

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

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests (b)</B></TD>

    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Telecommunication Services &#151; 4.3%</FONT></B></TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hawaiian Telcom Communications, Inc., Term Loan B,</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 2/28/17</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,470</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,465,708</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Integra Telecom Holdings, Inc., Term Loan,</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.25%, 4/15/15</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,990</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,906,260</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc.:</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B2, 5.75%, 9/03/18</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,600</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,662,100</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 5.75%, 8/31/18</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,025</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,052,337</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tranche A Term Loan, 2.49% &#150; 2.72%, 3/13/14</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,550</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,530,875</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Telepacific Corp., Term Loan B, 5.75%, 2/23/17</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,908</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,823,317</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

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

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

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,440,597</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 1.1%</FONT></B></TD>

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CDW LLC (FKA CDW Corp.), Extended Term Loan,</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 7/14/17</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,224</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,183,264</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sensata Technologies Finance Co. LLC, Term Loan,</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 5/11/18</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,665</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,663,492</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

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

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

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,846,756</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Energy Equipment &amp; Services &#151; 3.4%</FONT></B></TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

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

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan, 6.50%, 10/17/14</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">928</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">930,959</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.24%, 11/14/14</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,796</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,752,735</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dynegy Midwest Generation LLC, Coal Co. Term Loan,</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">9.25%, 8/04/16</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,139</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,163,485</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,448</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,513,785</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., Term Loan B, 4.00%, 3/16/18</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,070</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,073,627</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

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

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

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,434,591</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food &amp; Staples Retailing &#151; 2.9%</FONT></B></TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AB Acquisitions UK Topco 2 Ltd., Facility B1,</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.57%, 7/09/15</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,525</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,771,700</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Iceland Foods Group Ltd., Term Loan B1,</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.52%, 4/13/19</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,614,331</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">US Foodservice, Inc., Term Loan B, 2.74%, 7/03/14</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,498</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,472,484</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

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

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

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,858,515</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Food Products &#151; 3.9%</FONT></B></TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Advance Pierre Foods, Inc.:</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan (First Lien), 7.00%, 9/30/16</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,633</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,639,347</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan (Second Lien), 11.25%, 9/29/17</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,530</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,540,205</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Birds Eye Iglo Group Ltd. (Liberator Midco Ltd.),</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 5.62%, 4/30/16</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,000</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,971,101</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Del Monte Corp., Term Loan, 4.50%, 3/08/18</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,596</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,578,046</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Michaels Foods Group, Inc., Term Loan B,</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.25%, 2/23/18</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">312</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">311,920</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pinnacle Foods Finance LLC:</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan E, 4.75%, 10/17/18</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,384</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,383,088</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Solvest Ltd. (Dole):</TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tranche B-2 Term Loan, 5.00% &#150; 6.00%, 7/06/18</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">580</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">582,292</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tranche C-2 Term Loan, 5.00% &#150; 6.00%, 7/06/18</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,038</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,041,997</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

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

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

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

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">13,047,996</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Equipment &amp; Supplies &#151; 1.9%</FONT></B></TD>

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

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Biomet, Inc., Term Loan B, 3.24% &#150; 3.47%, 3/25/15</TD>

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

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">481</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">479,238</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

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

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan B2, 5.24%, 11/01/16</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">414</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">413,015</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 6.25%, 9/15/17</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,785</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,789,345</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hupah Finance Inc., Term Loan B, 6.25%, 1/21/19</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">960</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">968,400</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Immucor, Inc., Term Loan B, 7.25%, 8/17/18</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,751</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,767,626</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,417,624</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Providers &amp; Services &#151; 3.4%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CHS/Community Health Systems, Inc., Non-Extended</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term Loan, 2.49% &#150; 2.74%, 7/25/14</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,126</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,115,583</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">ConvaTec, Inc., Term Loan, 5.75%, 12/22/16</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,186</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,189,753</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DaVita, Inc., Term Loan B, 4.50%, 10/20/16</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,200</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,207,031</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Emergency Medical Services, Term Loan,</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 5/25/18</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,710</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,714,525</TD>
  </TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 51 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Consolidated Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests (b)</B></TD>

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>

    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Providers &amp; Services (concluded)</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Harden Healthcare LLC:</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan A, 8.50%, 3/02/15</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">796</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 779,845</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tranche A Additional Term Loan, 7.75%, 3/02/15</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,319</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,292,619</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc.:</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan B-3, 6.75%, 5/15/18</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">449</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">425,221</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 6.50%, 8/04/16</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,451</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,368,008</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Medpace, Inc., Term Loan, 6.50% &#150; 7.25%, 6/16/17</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,489</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,444,087</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">11,536,672</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Health Care Technology &#151; 1.3%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">IMS Health, Inc., Term Loan B, 4.50%, 8/25/17</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,489</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,492,645</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kinetic Concepts, Inc., Term Loan B, 7.00%, 5/04/18</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,751</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,785,625</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MedAssets, Inc., Term Loan, 5.25%, 11/16/16</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">970</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">974,575</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,252,845</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Hotels, Restaurants &amp; Leisure &#151; 6.1%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Alpha D2 Ltd., Term Loan B, 5.75%, 4/19/17</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">390</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">392,340</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,543</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,548,327</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Boyd Gaming Corp., Incremental Term Loan,</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.00%, 12/17/15</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,047</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,056,098</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Caesars Entertainment Operating Co., Inc.:</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan B4, 9.50%, 10/31/16</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,378</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,413,986</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.24%, 1/28/15</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">738</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">700,650</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 3.24%, 1/28/15</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,862</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,614,818</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">DineEquity, Inc., Term Loan B, 4.25%, 10/19/17</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">75</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">75,122</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Dunkin&rsquo; Brands, Inc., Term Loan B, 4.00%, 11/23/17</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,090</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,092,469</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">OSI Restaurant Partners LLC:</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Revolver, 2.54% &#150; 2.72%, 6/14/13</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">38</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">37,569</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.56%, 6/14/14</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">59</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">58,276</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SeaWorld Parks &amp; Entertainment, Inc., Term Loan B,</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 8/17/17</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,174</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,174,444</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Six Flags Theme Parks, Inc., Tranche B Term Loan</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(First Lien), 4.25%, 12/20/18</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,885</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,887,620</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,191</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,109,256</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Twin River Worldwide Holdings, Inc., Term Loan,</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">8.50%, 11/05/15</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,254</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,257,935</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Wendy&rsquo;s / Arby&rsquo;s Restaurants LLC, Term Loan B,</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.75%, 5/03/19</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,180</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,195,900</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">20,614,810</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Household Durables &#151; 0.0%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Berkline/Benchcraft LLC, Term Loan B,</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">14.00%, 11/03/13 (c)(g)</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">159</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">40,490</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Household Products &#151; 0.5%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Prestige Brands, Inc., Term Loan,</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25% &#150; 6.25%, 1/31/19</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,650</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,659,490</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Independent Power Producers &amp; Energy Traders &#151; 0.6%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">AES Corp., Term Loan, 4.25%, 6/01/18</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,931</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,932,102</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Industrial Conglomerates &#151; 1.7%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Schrader International, Term Loan B, 5.75%, 4/20/18</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">620</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">612,250</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sequa Corp.:</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan, 6.25%, 12/03/14</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">673</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">675,205</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 3.72% &#150; 3.78%, 12/03/14</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,362</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,316,262</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,603,717</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Insurance &#151; 0.7%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Asurion LLC, Term Loan (First Lien), 5.50%, 5/24/18</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">801</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">801,462</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CNO Financial Group, Inc., Term Loan B, 6.25%, 9/30/16</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,557</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,562,746</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,364,208</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Internet Software &amp; Services &#151; 0.4%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Web.com Group, Inc., Term Loan B, 7.00%, 10/27/17</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,206</TD>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,205,291</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>IT Services &#151; 4.4%</FONT></B></TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ceridian Corp., Term Loan, 3.24%, 11/10/14</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,805</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,725,725</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan B, 4.24%, 3/23/18</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,440</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,780,695</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 2.99%, 9/24/14</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,161</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,110,181</TD>
  </TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B-3, 2.99%, 9/24/14</TD>

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">281</TD>

    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">268,532</TD>
  </TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests (b)</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>IT Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Infogroup Inc., Term Loan, 5.75%, 5/25/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">442</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 400,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">iPayment, Inc., Term Loan B, 5.75%, 5/08/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">332</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">333,599</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">NeuStar, Inc., Term Loan B, 5.00%, 11/08/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,095</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,102,249</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SunGard Data Systems, Inc. (Solar Capital Corp.),</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tranche B Term Loan, 3.86% &#150; 4.15%, 2/26/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">271</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">271,656</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">TransUnion LLC, Term Loan B, 4.75%, 2/12/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,831</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,857,649</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">14,850,336</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Leisure Equipment &amp; Products &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/20/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">560</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">569,128</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freedom Group, Inc., Term Loan, 5.50%, 4/12/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,080</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,088,100</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,657,228</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Machinery &#151; 1.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Rexnord Corp., Term Loan B, 5.00%, 4/02/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">823</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">828,492</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Terex Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.00%, 4/28/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">353</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">465,226</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 5.50%, 4/28/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,593</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,603,101</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tomkins LLC, Term Loan B, 4.25%, 9/23/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,999</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,004,908</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,901,727</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Media &#151; 19.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Acosta, Inc., Term Loan, 4.75%, 3/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">627</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">626,416</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Affinion Group, Inc., Term Loan B, 5.00%, 10/10/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,479</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,404,309</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AMC Entertainment, Inc., Term Loan B3, 4.25%, 2/22/18</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">848</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">845,230</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,787</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,780,551</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Atlantic Broadband Finance LLC, Term Loan (First Lien),</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/03/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">970</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">973,638</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bresnan Telecommunications Co. LLC, Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 12/14/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,551,200</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,286</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,298,477</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Catalina Marketing Corp., Extended Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.74%, 12/13/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,440</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,420,123</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cengage Learning Acquisitions, Inc. (FKA Thomson</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Learning):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.49%, 7/03/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">623</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">569,141</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,115</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,071,065</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cequel Communications LLC, Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 2/11/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,345</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,330,608</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Charter Communications Operating LLC:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.72%, 9/06/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">485</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">484,671</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan D, 4.00%, 4/26/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">189</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">188,074</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Clarke American Corp., Term Facility B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.74% &#150; 2.97%, 6/30/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">320</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">306,816</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Clear Channel Communications, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.89%, 1/28/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,850</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,296,724</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.89%, 1/28/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">413</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">322,773</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,495</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,506,149</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EMI Music Publishing Ltd., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.00%, 11/14/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,215</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,221,840</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Gray Television, Inc., Term Loan B, 3.74%, 12/31/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,471</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,460,703</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HMH Publishing Co. Ltd., Tranche A Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.49%, 6/12/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,854</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,109,045</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Hubbard Broadcasting, Inc., Term Loan B (Second Lien),</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/28/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,022</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,026,673</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA (FKA Intelsat Jackson</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,148</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">10,195,092</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Interactive Data Corp., Term Loan B, 4.50%, 2/12/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,589</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,590,437</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Kabel Deutschland GmbH:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan A1, 3.90%, 3/31/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,043</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,014,069</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan D, 4.40%, 12/13/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,325,501</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan E, 3.65%, 6/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,276,958</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan F, 4.25%, 2/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,695</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,692,881</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Knology, Inc., Term Loan B, 4.00%, 8/18/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">412</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">411,874</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lavena Holding 4 GmbH (Prosiebensat.1 Media AG):</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.68%, 3/06/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">304</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">345,010</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 4.06%, 3/04/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">608</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">694,042</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Consolidated Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests (b)</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Media (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Liberty Cablevision of Puerto Rico Ltd., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.47%, 6/13/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">1,429</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%"> 1,405,533</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">LIN Television Corp., Term Loan B, 5.00%, 12/21/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">868</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">870,715</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Newsday LLC, Fixed Rate Term Loan:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.72%, 8/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,255,212</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">10.50%, 8/01/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,500</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,538,445</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Nielsen Finance LLC, Class B Dollar Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.99%, 5/02/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,706</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,713,317</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Serpering Investments BV (Casema NV), Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.40%, 3/31/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">619</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">817,086</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sinclair Television Group, Inc., Tranche B Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 10/28/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,408</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,408,311</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Univision Communications, Inc., Extended First Lien</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.49%, 3/31/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,467</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,303,636</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UPC Broadband Holding BV, Term Loan U,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.42%, 12/29/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">775</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,006,216</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">UPC Financing Partnership:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.75%, 12/29/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">680</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">681,489</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan T, 3.74%, 12/30/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">195</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">194,025</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">529</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">529,519</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Weather Channel, Term Loan B, 4.25%, 2/13/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,556</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,562,018</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">66,625,612</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Metals &amp; Mining &#151; 2.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan B2, 4.00%, 3/10/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">392</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">391,692</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.00%, 3/10/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,288</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,285,493</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">844</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">843,626</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,416</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,410,114</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,930,925</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Multiline Retail &#151; 2.0%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">99 Cents Only Stores, Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25% &#150; 7.00%, 1/11/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,312</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,311,712</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HEMA Holding BV:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Second Lien Term Loan, 5.77%, 1/05/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,800</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,258,802</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.42%, 7/06/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">169</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">211,783</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.17%, 7/05/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">169</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">210,663</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Neiman Marcus Group, Inc., Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.75%, 5/16/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">750,157</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,743,117</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EP Energy Corp., Term Loan B, 6.50%, 4/10/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">935</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">944,546</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EquiPower Resources Holdings LLC, Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.75%, 1/26/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,903</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,776,333</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Gibson Energy, Inc., Term Loan B, 5.75%, 6/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,184</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,189,876</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,460</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,470,554</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,381,309</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Paper &amp; Forest Products &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">NewPage Corp., DIP Term Loan, 8.00%, 3/07/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">550</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">554,356</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Verso Paper Finance Holdings LLC, Term Loan with</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">PIK option, 6.79% &#150; 7.54%, 2/01/13 (h)</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">426</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">213,049</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">767,405</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Pharmaceuticals &#151; 3.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,666</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,636,255</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Endo Pharmaceuticals Holdings, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 6/18/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">433</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">433,954</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Pharmaceutical Product Development, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 12/05/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,012</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,041,309</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Quintiles Transnational Corp., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.00%, 6/08/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,310</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,310,506</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,090</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,093,408</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Taminco Global Chemical Corp., New Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/15/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">675</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">679,955</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests (b)</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>
<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Pharmaceuticals (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International, Add-On</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.75%, 2/08/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">2,355</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$ </TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 12%">2,343,225</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Warner Chilcott Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 4.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">769</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">770,210</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 4.25%, 3/15/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">385</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">385,105</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">12,693,927</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Professional Services &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Emdeon, Inc., Term Loan B, 6.75%, 11/02/18</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,680</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,694,591</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Investment Trusts (REITs) &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">iStar Financial, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan A1, 5.00%, 6/28/13</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,783</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,778,434</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan A2, 7.00%, 6/30/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">95</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">95,000</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,873,434</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Real Estate Management &amp; Development &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Realogy Corp.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Extended Synthetic Letter of Credit, 3.24%, 10/10/13</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">68</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">64,712</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD COLSPAN="2" STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Extended Synthetic Letter of Credit, 4.49%, 10/10/16</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">306</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">284,881</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan, 4.49%, 10/10/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,582</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,259,588</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,609,181</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Road &amp; Rail &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Avis Budget Car Rental LLC, Incremental Term Loan,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 9/21/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">638</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">642,800</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">RAC Ltd., Term Loan B, 5.38% &#150; 5.78%, 7/30/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">GBP</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,356</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,168,374</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">RailAmerica, Inc., Term Loan B, 4.00%, 3/01/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,180</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,180,366</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Road Infrastructure Investment LLC, Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">5.47%, 3/30/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">625</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">623,831</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,615,371</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Freescale Semiconductor, Inc., Extended Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.49%, 12/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">796</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">779,627</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">NXP BV, Term Loan A-2, 5.50%, 3/03/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,130</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,130,023</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,909,650</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Software &#151; 2.1%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan (First Lien), 7.50%, 8/20/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">719</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">269,798</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan (Second Lien), 8.30%, 8/20/15</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">268</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,361</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Blackboard, Inc., Term Loan B, 7.50%, 10/04/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">449</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">445,284</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lawson Software, Term Loan B, 6.25%, 4/05/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,750</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,809,375</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Sophia LP, Term Loan B, 6.25%, 7/19/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,100</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,116,500</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Vertafore, Inc., Term Loan B, 5.25%, 7/29/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">339</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">339,876</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,988,194</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Specialty Retail &#151; 4.5%</FONT></B></TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Academy Ltd., Term Loan, 6.00%, 8/03/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,895</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,912,345</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bass Pro Group LLC, Term Loan, 5.25%, 6/13/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,491</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,492,781</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Burlington Coat Factory Warehouse Corp., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.25%, 2/23/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,022</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,021,520</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Claire&rsquo;s Stores, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">2.99% &#150; 3.30%, 5/29/14</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">440</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">419,105</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">General Nutrition Centers, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.25%, 3/02/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,990</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,994,259</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Gymboree Corp., Term Loan, 5.00%, 2/23/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">243</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">233,569</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">591</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">589,768</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Michaels Stores, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan B3, 5.00%, 7/29/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">820</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">824,050</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B2, 5.00%, 7/29/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">780</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">784,095</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Petco Animal Supplies, Inc., Term Loan B,</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.50%, 11/24/17</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,008</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,008,657</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Toys &lsquo;R&rsquo; Us Delaware, Inc.:</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan B2, 5.25%, 5/25/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">496</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">485,496</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.00%, 5/25/18</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">510</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">497,887</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 6.00%, 9/01/16</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,065</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,063,927</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">The Yankee Candle Co., Term Loan B, 5.25%, 4/02/19</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,665</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,675,107</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">15,002,566</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Consolidated Schedule of Investments (continued)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; vertical-align: bottom"><B><FONT COLOR=#394c87>(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests (b)</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid"><B>Par</B><BR>

<B>(000)</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 2px solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Textiles, Apparel &amp; Luxury Goods &#151; 0.9%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Ascend Performance Materials LLC, 6.75%, 4/10/18</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">2,430</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%"> 2,398,604</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Phillips-Van Heusen Corp., Term Loan B,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">3.75%, 5/06/16</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">544</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">716,400</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,115,004</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Wireless Telecommunication Services &#151; 1.9%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Crown Castle International Corp., Term Loan B,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 1/31/19</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,679</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,678,710</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">MetroPCS Wireless, Inc., Term Loan B-3,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.00%, 3/16/18</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,057</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,045,771</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Vodafone Americas Finance 2, Inc. (h):</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.88%, 8/11/15</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,647</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,686,857</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 6.25%, 7/11/16</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">825</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">833,250</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">6,244,588</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Floating Rate Loan Interests &#151; 116.5%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">392,258,933</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Foreign Agency Obligations</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Argentina Bonos:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">0.79%, 8/03/12 (b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,250</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,221,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 12pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">7.00%, 10/03/15</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">2,000</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,785,834</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Colombia Government International Bond,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">4.02%, 3/17/13 (b)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">240</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">243,600</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Uruguay Government International Bond,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">6.88%, 1/19/16</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">950</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,441,741</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Foreign Agency Obligations &#151; 1.4%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">4,692,175</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Other Interests (i)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Beneficial</B><BR>

<B>Interest</B><BR>

<B>(000)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Auto Components &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Lear Corp. Escrow (c)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">500</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">3,750</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Diversified Financial Services &#151; 0.3%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">JG Wentworth LLC Preferred Equity Interests (c)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,176,896</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Hotels, Restaurants &amp; Leisure &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Wembley Contigent (c)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">7,500</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Household Durables &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Berkline Benchcraft Equity LLC (c)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">2</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Other Interests &#151; 0.3%</B></TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,188,146</TD>
    <TD STYLE="border-bottom: #000000 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="font-family: Arial, Helvetica, Sans-Serif">

    <TD COLSPAN="7" STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif"><B>Warrants (j)</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif; text-align: center"><B>Shares</B></TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2px solid; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Chemicals &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">British Vita Holdings Co. (Non-Expiring)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">166</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Media &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">New Vision Holdings LLC:</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(Expires 9/30/14)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">3</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">(Expires 9/30/14)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">19</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Software &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions, Inc. (Expires 9/29/17)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">251</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">HMH Holdings/EduMedia (Expires 3/09/17)</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">21,894</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Warrants &#151; 0.0%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">1</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Long-Term Investments</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $490,017,626) &#151; 144.2%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">485,659,463</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>
</TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Options Purchased</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Contracts</B></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif"><B>Value</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B><FONT COLOR=#394c87>Over-the-Counter Call Options &#151; 0.0%</FONT></B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Marsico Parent Superholdco LLC, Strike Price USD 942.86,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif; vertical-align: middle; text-indent: 6pt">Expires 12/21/19, Broker Goldman Sachs Bank USA</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">26</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Options Purchased</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>(Cost &#151; $25,422) &#151; 0.0%</B></TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&#151;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total Investments &#151; 144.2%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 10%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
     <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%">485,659,463</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Liabilities in Excess of Other Assets &#151; (44.2)%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(148,839,402</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD></TR>
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px"><B>Net Assets &#151; 100.0%</B></TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; padding-bottom: 2px">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">336,820,061</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>                                                                                                                             <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">&nbsp;</TD>
     <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(a)</TD><TD STYLE="width: 5pt"></TD><TD>Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(b)</TD><TD STYLE="width: 5pt"></TD><TD>Variable rate security. Rate shown is as of report date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(c)</TD><TD STYLE="width: 5pt"></TD><TD>Non-income producing
security.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(d)</TD><TD STYLE="width: 5pt"></TD><TD>Restricted security as to resale. As of report date the Fund held 0.8% of its net
assets, with a current value of $2,665,086 in this security.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(e)</TD><TD STYLE="width: 5pt"></TD><TD>Convertible security.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(f)</TD><TD STYLE="width: 5pt"></TD><TD>Represents a zero-coupon bond. Rate shown reflects the current yield as of report
date.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(g)</TD><TD STYLE="width: 5pt"></TD><TD>Issuer filed for bankruptcy and/or is in default of interest payments.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(h)</TD><TD STYLE="width: 5pt"></TD><TD>Represents a payment-in-kind security which may pay interest/dividends in additional
par/shares.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(i)</TD><TD STYLE="width: 5pt"></TD><TD>Other interests represent beneficial interests in liquidation trusts and other reorganization
or private entities.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">(j)</TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Investments in companies considered to be an affiliate of the Fund during the period,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B>Affiliate</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B>Shares Held at</B><BR>

<B>October 31,</B><BR>

<B>2011</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B>Net</B><BR>

<B>Activity</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B>Shares Held at</B><BR>

<B>April 30,</B><BR>

<B>2012</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Income</B></TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Funds, TempFund,</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: left; font-family: Arial, Helvetica, Sans-Serif">Institutional Class</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">1,071,567</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">(1,071,567)</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">&mdash;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">$825</TD>
  </TR>
</TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>For Fund compliance purposes, the Fund&rsquo;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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Foreign currency exchange contracts as of April 30, 2012 were as follows:</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">



  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Currency</B><BR>

<B>Purchased</B></TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Currency <BR>
      Sold</B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid"><B>Counterparty</B></TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Settlement</B><BR>

<B>Date</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Unrealized</B><BR>

<B>Appreciation</B><BR>

<B>(Depreciation)</B></TD>
  </TR>



  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 7%">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt; width: 10%">321,627</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 7%">CAD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 10%">316,000</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Citibank NA</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">7/18/12</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">$</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; width: 11%"> 2,291</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif; width: 1%">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">6,068,072</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CAD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">5,975,000</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">UBS AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">7/18/12</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">30,016</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">1,149,852</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">CHF</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">1,055,000</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">Securities, Inc.</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">7/18/12</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(13,693</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">15,401,243</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">GBP</TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">9,647,000</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">UBS AG</TD>
    <TD STYLE="text-align: center; font-family: Arial, Helvetica, Sans-Serif">7/18/12</TD>
    <TD COLSPAN="2" STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif">(247,493</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">USD </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">52,981,500</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">EUR </TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">40,137,500</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">Citibank NA</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; font-family: Arial, Helvetica, Sans-Serif">7/25/12</TD>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif">(172,940</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>

  <TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">

    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></TD>
    <TD STYLE="text-align: right; font-family: Arial, Helvetica, Sans-Serif; padding-right: 10pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">$</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: right; font-family: Arial, Helvetica, Sans-Serif"> (401,819</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-family: Arial, Helvetica, Sans-Serif">)</TD>
  </TR>
</TABLE><BR>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 54 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</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: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif">
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 14pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135)"><FONT COLOR=#394c87>Consolidated Schedule of Investments (concluded)</FONT></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; color: rgb(57,76,135); text-align: right"><B><FONT COLOR=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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:</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Level 1 &#151;unadjusted price quotations in active markets/exchanges for identical
assets and liabilities</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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)</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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&rsquo;s own assumptions used in determining
the fair value of investments and derivative financial instruments) </TD>
</TR></TABLE>
<P STYLE="font-family: Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 33pt; text-indent: 0pt">Changes in valuation techniques may result in transfers into
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 is not necessarily
an indication of the risks associated with investing in those securities. For information about the Fund&rsquo;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="font-family: Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">The
following tables summarize the inputs used as of April 30, 2012 in determining the fair valuation of the Fund&rsquo;s investments
and derivative financial instruments:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Level 1</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Level 2</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Level 3</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Long-Term</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Investments:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt; width: 52%">Asset-Backed Securities</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">3,574,917</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">8,108,357</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">11,683,274</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Common Stocks</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">149,238</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,297,944</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">353,553</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,800,735</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Corporate Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">72,036,199</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">72,036,199</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Floating Rate </TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">Loan Interests</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">366,084,386</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,174,547</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">392,258,933</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Foreign Agency</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">Obligations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,685,341</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,006,834</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,692,175</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Other Interests</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,188,146</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,188,146</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Warrants</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Unfunded Loan</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 12pt">Commitments</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">646</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">646</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Total</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">149,238</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">446,679,433</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">38,831,438</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">485,660,109</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1px; border-top: Black 1pt solid; border-bottom: Black 1pt solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid"><B>Level 1</B></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid"><B>Level 2</B></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid"><B>Level 3</B></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center; border-top: Black 1pt solid"><B>Total</B></TD><TD STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: left; border-top: Black 1pt solid">&nbsp;</TD></TR>

<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Derivative Financial Instruments<SUP>1</SUP></TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Foreign currency</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">exchange contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">32,307</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">32,307</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Liabilities:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6pt">Foreign currency</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 12pt">exchange contracts</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(434,126</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(434,126</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Total</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(401,819</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">(401,819</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">)</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="font-family: Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">The
following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining
fair value:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Asset-Backed<BR> Securities</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Common<BR> Stocks</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Floating<BR> Rate Loan<BR> Interests</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Foreign<BR> Agency<BR> Obligations</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Other<BR> Interests</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Warrants</TD><TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&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 STYLE="vertical-align: bottom">
    <TD STYLE="width: 44%; text-align: left">Balance, as of October 31, 2011</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 5%; text-align: right">6,561,220</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 5%; text-align: right">234,634</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 5%; text-align: right">32,466,825</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 5%; text-align: right">2,961,954</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 5%; text-align: right">1,281,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 5%; text-align: right">227</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 5%; text-align: right">43,505,860</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/ premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57,074</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">73,173</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">77,415</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">207,662</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(35,410</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(781,119</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">182</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(816,347</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized appreciation/ depreciation<SUP>2</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">553,892</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(221,641</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">584,266</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(32,535</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(92,854</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(226</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">790,902</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,717,831</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,121,822</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,839,653</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,746,250</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5,739,826</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(182</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(7,486,258</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers in<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">340,560</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,720,586</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,061,146</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Transfers out<SUP>3</SUP></TD><TD STYLE="text-align: left; padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(11,271,180</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(11,271,180</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2px">Balance, as of April 30, 2012</TD><TD STYLE="padding-bottom: 2px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">8,108,357</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">353,553</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">26,174,547</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">3,006,834</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">1,188,146</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">1</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">38,831,438</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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 April 30, 2012 was $(266,753).</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>The Fund&rsquo;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.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font: 8pt Arial, Helvetica, Sans-Serif">A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets.</P>
<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 55 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_006"></A><FONT STYLE="color: rgb(57,76,135)">Statements
of Assets and Liabilities</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B>April 30, 2012 (Unaudited)</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>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="4" STYLE="text-align: center"><B>BlackRock<BR>
Floating<BR>
Rate<BR>
Income<BR>
Trust<BR>
(BGT)<SUP>1</SUP></B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Assets</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Investments at value &#151; unaffiliated<SUP>2</SUP></TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">152,043,139</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">647,454,359</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">301,004,063</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">1,017,190,151</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">485,659,463</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Investments at value &#151; affiliated<SUP>3</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">621,268</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,908,035</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">841,364</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,310,288</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Cash</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">35,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">174,001</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">83,578</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">232,893</TD>
     <TD 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">292,928</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Cash pledged as collateral for financial futures contracts</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">282,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">940,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">351,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,163,940</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Interest receivable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2,275,203</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">9,511,089</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">4,260,680</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">14,835,086</TD>
     <TD 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">2,891,359</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Investments sold receivable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">101,623</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">425,940</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">207,860</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">705,054</TD>
     <TD 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">10,839,624</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Foreign currency at value<SUP>4</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">126,272</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">126,089</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">475</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">45</TD>
     <TD 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">7,003,431</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Cash pledged as collateral for swaps</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">100,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">830,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">891,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5,590,000</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Swaps premiums paid</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">36,894</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">156,478</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">196,650</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">181,551</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Unrealized appreciation on foreign currency exchange contracts</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD 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">32,307</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Unrealized appreciation on swaps</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">35,723</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">156,672</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">88,510</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">257,441</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Unrealized appreciation on unfunded loan commitments</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD 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">646</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Swaps receivable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">10,226</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">43,850</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">20,372</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">88,109</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Dividends receivable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">8,925</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">38,325</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">20,475</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">63,700</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Prepaid expenses</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">8,959</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">24,083</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">29,952</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">47,525</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">44,781</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Total assets</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">155,685,232</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">661,788,921</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">307,995,979</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">1,042,665,783</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">506,764,539</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Liabilities</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Reverse repurchase agreements</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">42,901,352</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">179,538,212</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">73,924,855</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">282,005,383</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Loan payable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD 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">135,000,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Investments purchased payable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">304,826</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,297,882</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">630,765</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,156,391</TD>
     <TD 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">33,660,194</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options written at value<SUP>5</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">48,027</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">194,294</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,106,321</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">3,766,493</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Unrealized depreciation on swaps</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">361,742</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,546,453</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">567,441</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,138,666</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Swaps premiums received</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">180,868</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">785,107</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">402,562</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,240,593</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Swaps payable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">101,555</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">448,473</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">219,982</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,121,746</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Investment advisory fees payable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">75,851</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">320,961</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">162,212</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">549,235</TD>
     <TD 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">253,182</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Cash held as collateral for reverse repurchase agreements</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">772,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">628,057</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Officer&#146;s and Directors&#146; fees payable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">3,423</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">120,293</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">61,387</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">180,953</TD>
     <TD 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">130,790</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Unrealized depreciation on foreign currency exchange contracts</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,070</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2,375</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD 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">434,126</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Income dividends payable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">27,097</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">104,943</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">31,877</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">229,294</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Interest expense payable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">10,355</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">66,119</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">27,432</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">92,355</TD>
     <TD 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">170,389</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Variation margin payable</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">16,024</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">62,370</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">22,978</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">82,301</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Deferred income</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD 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">8,037</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Other accrued expenses payable</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">17,370</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">2,405</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">115,743</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">158,816</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">287,760</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Total liabilities</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">44,049,560</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">185,261,887</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">77,273,555</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">294,350,283</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&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">169,944,478</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left"><B>Net Assets</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">111,635,672</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">476,527,034</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">230,722,424</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">748,315,500</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">336,820,061</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Net
     Assets Consist of</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Paid-in capital<SUP>6,7,8</SUP></TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">235,477,660</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">937,350,272</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">422,218,171</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">1,123,084,063</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">428,717,100</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Undistributed net investment income</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">503,915</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">3,182,458</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">905,399</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,356,154</TD>
     <TD 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">1,844,623</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Accumulated net realized loss</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(132,342,917</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(493,636,691</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(201,589,952</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(406,266,387</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(88,803,323</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Net unrealized appreciation/depreciation</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,997,014</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">29,630,995</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">9,188,806</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">30,141,670</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(4,938,339</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt"><B>Net Assets</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">111,635,672</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">476,527,034</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">230,722,424</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">748,315,500</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">336,820,061</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Net asset value</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.83</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">11.68</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">12.49</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14.44</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14.26</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 3px; text-align: left; padding-left: 6pt"><SUP>1 </SUP>Consolidated Statement of Assets and Liabilities.</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD 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: 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: 3px; text-align: left; padding-left: 6pt"><SUP>2 </SUP>Investments at cost &#151; unaffiliated</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">143,519,809</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">615,607,941</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">290,605,124</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">982,234,934</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">490,043,048</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 3px; text-align: left; padding-left: 6pt"><SUP>3 </SUP>Investments at cost &#151; affiliated</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">621,268</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1,908,035</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">841,364</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2,310,288</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 3px; text-align: left; padding-left: 6pt"><SUP>4 </SUP>Foreign currency at cost</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">125,225</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">125,042</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">459</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">43</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7,043,489</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 3px; text-align: left; padding-left: 6pt"><SUP>5 </SUP>Premiums received</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">66,010</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">267,430</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">764,470</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2,606,390</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">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 3px; text-align: left; padding-left: 6pt"><SUP>6 </SUP>Common shares par value per share</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.100</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.100</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.001</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.001</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.001</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 3px; text-align: left; padding-left: 6pt"><SUP>7 </SUP>Common shares outstanding</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10,311,941</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">40,807,418</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">18,467,785</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">51,828,157</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">23,623,502</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 3px; text-align: left; padding-left: 6pt"><SUP>8 </SUP>Common shares authorized</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">199,994,540</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">199,978,000</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">unlimited</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: right">unlimited</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">unlimited</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 56; Options: NewSection; Value: 55 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->55<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid; color: rgb(57,76,135)"><A NAME="a_007"></A><FONT STYLE="color: rgb(57,76,135)">Statements
of Operations</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B>Six Months Ended April 30, 2012 (Unaudited)</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="4" 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>BlackRock</B><BR>
<B>Floating</B><BR>
<B>Rate</B><BR>
<B>Income</B><BR>
<B>Trust</B><BR>
<B>(BGT)<SUP>1</SUP></B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Investment
     Income</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Interest</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">4,166,335</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">18,078,167</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">8,322,992</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">27,650,433</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">13,530,755</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Dividends &#151; unaffiliated</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">165,568</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">237,548</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">71,706</TD>
     <TD 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">1,092,243</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">34,819</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Income &#151; affiliated</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">926</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5,983</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">3,402</TD>
     <TD 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">8,943</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">4,826</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Facility and other fees</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">&#151;</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">&#151;</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">14,869</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Total income</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,332,829</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">18,321,698</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">8,398,100</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">28,751,619</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">13,585,269</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Expenses</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Investment advisory</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">464,762</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,958,737</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">983,125</TD>
     <TD 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">3,319,108</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,639,638</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Professional</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">35,930</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">65,858</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">39,180</TD>
     <TD 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">90,610</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">67,546</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Accounting Services</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">23,002</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">49,782</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">32,876</TD>
     <TD 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">61,804</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">28,212</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Custodian</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">11,066</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">28,404</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">15,594</TD>
     <TD 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">34,162</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">78,302</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Borrowing costs<SUP>2</SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">174,754</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Printing</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">7,568</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">22,002</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">28,480</TD>
     <TD 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">70,336</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">21,734</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Officer and Directors</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">7,084</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">19,222</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">10,486</TD>
     <TD 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">24,740</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">12,468</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Transfer agent</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">13,578</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">19,176</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">6,168</TD>
     <TD 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">5,936</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">6,180</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Registration</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">4,724</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">7,090</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">4,696</TD>
     <TD 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">8,996</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">4,728</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Miscellaneous</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">14,340</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">34,511</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">17,874</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">37,762</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">34,100</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Total expenses excluding interest expense</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">582,054</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,204,782</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,138,479</TD>
     <TD 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">3,653,454</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,067,662</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Interest expense</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">87,253</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">350,497</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">143,528</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">461,626</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">522,570</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Total expenses</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">669,307</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,555,279</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,282,007</TD>
     <TD 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">4,115,080</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,590,232</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Less fees waived by advisor</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(491</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">(1,276</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">(772</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</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">(1,945</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">(109,701</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Total expenses after fees waived</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">668,816</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">2,554,003</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">1,281,235</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,113,135</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">2,480,531</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Net investment income</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">3,664,013</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">15,767,695</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">7,116,865</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">24,638,484</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">11,104,738</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Realized
     and Unrealized Gain (Loss)</B></FONT></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net realized gain (loss) from:</TD>
     <TD 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: 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: 2px; text-align: left">Investments</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,863,917</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">7,334,532</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">3,314,200</TD>
     <TD 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">11,207,494</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(395,099</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 2px; text-align: left">Financial futures contracts</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(358,576</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,388,225</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(497,124</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,600,523</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 2px; text-align: left">Foreign currency transactions</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(2,140</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(12,771</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,819,350</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 2px; text-align: left">Option written</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">145,144</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">618,151</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">290,100</TD>
     <TD 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">1,003,630</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 2px; text-align: left; padding-bottom: 1pt">Swaps</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(640,687</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">(2,751,575</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">(1,247,611</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</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">(3,920,391</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">&#151;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,007,658</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">3,800,112</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">1,859,565</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">6,690,210</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">1,424,251</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation on:</TD>
     <TD 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: 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: 2px; text-align: left">Investments</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,368,239</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">12,387,567</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5,653,576</TD>
     <TD 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">19,091,940</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">9,124,638</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 2px; text-align: left">Financial futures contracts</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(340,848</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,407,481</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(459,337</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,926,895</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 2px; text-align: left">Foreign currency transactions</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">3,806</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">14,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(22</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(2</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">119,373</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 2px; text-align: left">Option written</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">146,292</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">622,013</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">215,897</TD>
     <TD 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">800,104</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 2px; text-align: left">Swaps</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">227,636</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">999,921</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">396,504</TD>
     <TD 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">991,889</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 2px; text-align: left; padding-bottom: 1pt">Unfunded loan commitments</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">&#151;</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">&#151;</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">646</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">2,405,125</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">12,616,020</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">5,806,618</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">18,957,036</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">9,244,657</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Total realized and unrealized gain</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">3,412,783</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">16,416,132</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">7,666,183</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">25,647,246</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">10,668,908</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>Net Increase in Net Assets Resulting from Operations</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7,076,796</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">32,183,827</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14,783,048</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">50,285,730</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">21,773,646</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Consolidated Statement of Operations.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>See Note 6 of the Notes to the Financial Statements for details of short-term borrowings.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font: 11pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 57; Options: NewSection; Value: 56 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; 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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_008"></A><FONT STYLE="color: rgb(57,75,151)">Statements
of Changes in Net Assets</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial">
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt"><B>&nbsp;</B></TD>
     <TD COLSPAN="6" STYLE="text-align: center; border-bottom: Black 1pt solid"><B>BlackRock Credit Allocation</B><BR>
<B>Income Trust I, Inc. (PSW)</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"></TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="6" STYLE="text-align: center; border-bottom: Black 1pt solid"><B>BlackRock Credit Allocation</B><BR>
<B>Income Trust II, Inc. (PSY)</B></TD></TR>
<TR vAlign=bottom>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B>Increase (Decrease) in Net Assets Applicable to Common Shareholders:</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><B>Six Months<BR>
Ended<BR>
April 30,<BR>
2012<BR>
(Unaudited)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>Year Ended</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="4" STYLE="text-align: center"><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>April 30,</B><BR>
<B>2012</B><BR>
<B>(Unaudited)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>Year Ended</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="15" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Operations</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net investment income</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">3,664,013</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">7,124,109</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">15,767,695</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">29,691,133</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net realized gain (loss)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,007,658</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(2,345,593</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">3,800,112</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(12,706,661</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,405,125</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(690,779</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">12,616,020</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(3,271,622</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Dividends to Preferred Shareholders from net investment income</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">(61,138</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">(506,078</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Net increase in net assets applicable to Common Shareholders resulting from operations</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,076,796</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">4,026,599</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">32,183,827</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">13,206,772</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="15">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="15" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Dividends
     to Common Shareholders From</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Net investment income</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,970,261</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(6,305,752</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(14,935,515</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">(26,912,492</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR>
     <TD COLSPAN="15">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="15" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Net
     Assets Applicable to Common Shareholders</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Total increase (decrease) in net assets applicable to Common Shareholders</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">3,106,535</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(2,279,153</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">17,248,312</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(13,705,720</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Beginning of period</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">108,529,137</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">110,808,290</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">459,278,722</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">472,984,442</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">End of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">111,635,672</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">108,529,137</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">476,527,034</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">459,278,722</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Undistributed net investment income</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">503,915</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">810,163</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3,182,458</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2,350,278</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 58; Value: 55 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->57<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Statements
of Changes in Net Assets (continued)</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial">
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt"><B>&nbsp;</B></TD>
     <TD COLSPAN="6" STYLE="text-align: center; border-bottom: Black 1pt solid"><B>BlackRock Credit Allocation</B><BR>
<B>Income Trust III (BPP)</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="6" STYLE="text-align: center; border-bottom: Black 1pt solid"><B>BlackRock Credit Allocation</B><BR>
<B>Income Trust IV (BTZ)</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B>Increase (Decrease) in Net Assets Applicable to Common Shareholders:</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><B>Six Months<BR>
Ended<BR>
April 30,<BR>
2012<BR>
(Unaudited)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>Year Ended</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="4" STYLE="text-align: center"><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>April 30,</B><BR>
<B>2012</B><BR>
<B>(Unaudited)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>Year Ended</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="15" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Operations</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net investment income</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">7,116,865</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">$</TD>
     <TD STYLE="text-align: right">13,010,8514</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">24,638,484</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">$</TD>
     <TD STYLE="text-align: right">45,515,474</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net realized gain (loss)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,859,565</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(3,054,857</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">6,690,210</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(10,984,247</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5,806,618</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(3,755,447</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">18,957,036</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(17,087,131</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Dividends to Preferred Shareholders from net investment income</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">(23,469</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">(646,135</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Net increase in net assets applicable to Common Shareholders resulting from operations</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">14,783,048</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">6,177,078</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">50,285,730</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">16,797,961</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="15">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="15" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Dividends
     to Common Shareholders From</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Net investment income</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(6,999,291</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(12,336,480</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(24,307,405</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(43,820,706</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR>
     <TD COLSPAN="15">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="15" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><FONT STYLE="color: rgb(57,76,135)"><B>Net
     Assets Applicable to Common Shareholders</B></FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Total increase (decrease) in net assets applicable to Common Shareholders</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">7,783,757</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(6,159,402</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">25,978,325</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(27,022,745</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Beginning of period</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">222,938,667</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">229,098,069</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">722,337,175</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">749,359,920</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">End of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">230,722,424</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-indent: 1px; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">222,938,667</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">748,315,500</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">722,337,175</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Undistributed net investment income</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">905,399</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-indent: 1px; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">787,825</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1,356,154</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1,025,075</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 59; Value: 56 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->58<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Statements
of Changes in Net Assets (concluded)</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial">
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt"><B>&nbsp;</B></TD>
     <TD COLSPAN="6" STYLE="text-align: center; border-bottom: Black 1pt solid"><B>BlackRock</B><BR>
<B>Floating Rate Income Trust (BGT)</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B>Increase (Decrease) in Net Assets Applicable to Common Shareholders:</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center"><B>Six Months<BR>
Ended<BR>
April 30,<BR>
2012<BR>
(Unaudited)<SUP>1</SUP></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>Year Ended</B><BR>
<B>October 31,</B><BR>
<B>2011</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: rgb(57,76,135)">Operations</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net investment income</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">11,104,738</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">23,584,991</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net realized gain (loss)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,424,251</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(3,466,879</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net change in unrealized appreciation/depreciation</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">9,244,657</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(6,557,897</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Dividends to Preferred Shareholders from net investment income</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">(90,614</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Net increase in net assets applicable to Common Shareholders resulting from operations</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">21,773,646</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">13,469,601</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: rgb(57,76,135)">Dividends to Common Shareholders From</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Net investment income</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(14,879,572</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">(25,653,072</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</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: rgb(57,76,135)">Capital Share Transactions</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Reinvestment of common dividends</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">95,382</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">577,941</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: rgb(57,76,135)">Net Assets Applicable to Common Shareholders</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Total increase (decrease) in net assets applicable to Common Shareholders</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">6,989,456</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(11,605,530</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Beginning of period</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">329,830,605</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">341,436,135</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">End of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">336,820,061</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">329,830,605</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Undistributed net investment income</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1,844,623</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">5,628,436</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Consolidated Statement of Changes in Net Assets.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 60; Value: 55 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</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: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_009"></A><FONT STYLE="color: rgb(57,76,135)">Statements
of Cash Flows</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B>Six Months Ended April 30, 2012 (Unaudited)</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>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="4" 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)<SUP>1</SUP></B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Cash Provided by Operating Activities</FONT></B></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="width: 35%; text-align: left">Net increase in net assets resulting from operations</TD>
     <TD STYLE="width: 2%; text-align: right">$</TD>
     <TD STYLE="width: 10%; text-align: right">7,076,796</TD>
     <TD STYLE="width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 2%; text-align: right">$</TD>
     <TD STYLE="width: 9%; text-align: right">32,183,827</TD>
     <TD STYLE="width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 1%; text-align: left">$</TD>
     <TD STYLE="width: 7%; text-align: right">14,783,048</TD>
     <TD STYLE="width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 1%; text-align: left">$</TD>
     <TD STYLE="width: 7%; text-align: right">50,285,730</TD>
     <TD STYLE="width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 1%; text-align: left">$</TD>
     <TD STYLE="width: 2%; text-align: right">&nbsp;</TD>
     <TD STYLE="width: 7%; text-align: right">21,773,646</TD>
     <TD STYLE="width: 2%; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:</TD>
     <TD 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: left">&nbsp;</TD>
     <TD 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; padding-left: 24pt">(Increase) decrease in interest receivable</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">84,470</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">803,325</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">302,160</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,171,053</TD>
     <TD 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">(1,278,018</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Decrease in swap receivable</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">3,382</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">18,342</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">40,709</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">125,061</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Decrease in other assets</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">456</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">89,507</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">51,943</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">138,860</TD>
     <TD 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">106,808</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">(Increase) decrease in prepaid expenses</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(2,343</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(8,239</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(7,047</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">13,906</TD>
     <TD 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">9,242</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">(Increase) decrease in dividends receivable</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(6,925</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(37,989</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(20,250</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(63,183</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">418</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Decrease in cash pledged as collateral for reverse repurchase agreements</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">690,000</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Decrease in cash pledged as collateral for financial futures contracts</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">235,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,306,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">454,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,226,000</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">(Increase) decrease in cash pledged as collateral for swaps</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">500,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">440,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(891,000</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(240,000</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Decrease in investment advisory fees payable</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(4,521</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(14,848</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(5,805</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(18,126</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(25,201</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Increase (decrease) in interest expense and fees payable</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(21,820</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(77,317</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(42,481</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(269,587</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">71,999</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Increase (decrease) in cash held as collateral for
     reverse repurchase agreements</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">772,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(325,000</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(219,943</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Decrease in cash held as collateral for swaps</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(700,000</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Decrease in other accrued expenses payable</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(40,100</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(128,994</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(63,460</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(183,910</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(132,283</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Decrease in variation margin payable</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(271,272</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,191,185</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(360,288</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,125,876</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Increase in swaps payable</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">68,897</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">312,970</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">147,120</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">881,672</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Increase in Officer&#146;s and Directors&#146; fees payable</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2,885</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">29,965</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2,942</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">27,348</TD>
     <TD 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">21,591</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12pt; text-align: left; padding-left: 24pt">Increase in deferred income</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD 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">8,037</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Net periodic and termination payments of swaps</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(347,541</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,527,833</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(639,005</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,946,023</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Net realized and unrealized gain (loss) on investments</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(4,071,222</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(19,142,036</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(8,545,052</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(28,865,368</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(8,876,838</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Amortization of premium and accretion of discount on investments</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">222,208</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">862,780</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">396,827</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,375,288</TD>
     <TD 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">(1,174,334</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Premiums received from options written</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">434,317</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,863,276</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">717,641</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2,460,786</TD>
     <TD 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">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Proceeds from sales of long-term investments</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">38,815,381</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">156,146,423</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">71,668,850</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">252,883,626</TD>
     <TD 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">131,136,093</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Purchases of long-term investments</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(28,996,127</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(122,091,527</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(54,912,795</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(204,801,909</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(133,477,248</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Net proceeds from sales (purchases) of short-term securities</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">741,664</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,502,327</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,618,550</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,512,820</TD>
     <TD 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">1,071,567</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Premiums paid on closing options written</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(352,762</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">(1,532,095</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(514,470</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1,774,467</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</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">&#151;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Cash provided by operating activities</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">14,070,823</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">47,574,025</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">23,857,137</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">72,583,758</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">9,235,479</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Cash Used for Financing Activities</FONT></B></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Cash receipts from borrowings</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">18,287,678</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">66,934,655</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">29,924,946</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">92,652,422</TD>
     <TD 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">106,000,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Cash payments on borrowings</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(28,281,507</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(99,469,580</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(46,764,354</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(141,351,227</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(93,000,000</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Cash dividends paid to Common Shareholders</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(3,970,526</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(14,955,087</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(7,004,151</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(24,304,896</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(14,831,651</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Decrease in custodian bank payable</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">&#151;</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">&#151;</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">&#151;</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(67,411</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 1pt; text-align: left">Cash used for financing activities</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(13,964,355</TD>
     <TD STYLE="border-bottom: Black 1pt solid; 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">(47,490,012</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(23,843,559</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(73,003,701</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</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">(1,899,062</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Cash Impact from Foreign Exchange Fluctuations</FONT></B></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Cash impact from foreign exchange fluctuations</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">2,807</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">7,798</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">(22</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(2</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</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">(40,058</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Cash and Foreign Currency</FONT></B></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Net increase (decrease) in cash and foreign currency</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">109,275</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">91,811</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">13,556</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(419,945</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">7,296,359</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Cash and foreign currency at beginning of period</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">51,997</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">208,279</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">70,497</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">652,883</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">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Cash and foreign currency at end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">161,272</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">300,090</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">84,053</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">232,938</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7,296,359</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Cash Flow Information</FONT></B></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Cash paid during the year for interest</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">109,073</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">427,814</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">186,009</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">731,213</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">450,571</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="17" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: rgb(57,76,135)">Noncash Financing Activities</FONT></B></TD></TR>
<TR>
     <TD COLSPAN="17">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt">Capital shares issued in reinvestment of dividends</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">95,382</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Consolidated Statement of Cash Flows.</TD>
</TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">A Statement of
Cash Flows is presented when a Fund has a significant amount of borrowing during the period, based on the average borrowing outstanding
in relation to average total assets.</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 61; Value: 56 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->60<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="width: 48%; text-align: left; color: rgb(57,76,135); font-size: 14pt; border-top: rgb(57,76,135) 4pt solid"><A NAME="a_010"></A><FONT STYLE="color: rgb(57,76,135)">Financial
     Highlights</FONT></TD>
     <TD STYLE="width: 51%; text-align: right; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="font-size: 8pt; color: rgb(57,76,135)"><B>BlackRock Credit Allocation
     Income Trust I, Inc. (PSW)</B></FONT></TD></TR></TABLE><BR>
<table border="0" cellspacing="0" cellpadding="0" style="width: 100%; font: 8pt Arial">

  <tr valign=bottom>

    <td style="text-align: center; padding-bottom: 1pt">&nbsp;</td>
    <TD ROWSPAN="3" COLSPAN="3" STYLE="text-align: center"><b>Six Months</b><br>

<b>Ended</b><br>

<b>April 30,</b><br>

<b>2012</b><br>

<b>(Unaudited)</b></td>
    <td colspan="15" style="border-bottom: Black 1pt solid; text-align: center"><b><BR>
<BR>
<BR>
Year Ended October 31,</b></td>
  </tr>



  <tr valign=bottom>
    <td style="text-align: center">&nbsp;</td>
    <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center"><b>2011</b></td>
    <td colspan="3" style="text-align: center" rowspan="2"><b>2010</b></td>
    <td colspan="3" style="text-align: center" rowspan="2"><b>2009</b></td>
    <td colspan="3" style="text-align: center" rowspan="2"><b>2008</b></td>
    <td colspan="3" style="text-align: center" rowspan="2"><b>2007</b></td>
  </tr>
  <tr valign=bottom>
    <td style="text-align: center">&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: rgb(57,76,135)">Per Share Operating Performance</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="width: 36%; text-align: left; padding-bottom: 1pt">Net asset value, beginning of period</td>
    <td style="border-bottom: Black 1pt solid; width: 3%; text-align: left">$</td>
    <td style="border-bottom: Black 1pt solid; width: 5%; text-align: right">10.52</td>
    <td style="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; width: 1%; text-align: left">$</td>
    <td style="border-bottom: Black 1pt solid; width: 5%; text-align: right">10.75</td>
    <td style="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; width: 1%; text-align: left">$</td>
    <td style="border-bottom: Black 1pt solid; width: 5%; text-align: right">9.31</td>
    <td style="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; width: 1%; text-align: left">$</td>
    <td style="border-bottom: Black 1pt solid; width: 5%; text-align: right">7.43</td>
    <td style="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; width: 2%; text-align: left">$</td>
    <td style="border-bottom: Black 1pt solid; width: 5%; text-align: right">19.54</td>
    <td style="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; width: 1%; text-align: left">$</td>
    <td style="border-bottom: Black 1pt solid; width: 5%; text-align: right">22.25</td>
    <td style="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Net investment income<sup>1</sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.35</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.69</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.63</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.86</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">1.70</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">2.01</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Net realized and unrealized gain (loss)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.35</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.30</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">1.58</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">2.06</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(12.06</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(2.41</td>
    <td style="text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 1pt">Dividends to Preferred Shareholders from net investment income</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">&#151;</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">(0.01</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.06</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.08</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.48</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.71</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 1pt">Net increase (decrease) from investment operations</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">0.70</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">0.38</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">2.15</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">2.84</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">(10.84</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(1.11</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Dividends and distributions to Common Shareholders from:</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left">Net investment income</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.39</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.61</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.62</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.83</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(1.22</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(1.18</td>
    <td style="text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left; padding-bottom: 1pt">Tax return of capital</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">&#151;</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">&#151;</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">(0.09</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.13</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.05</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.42</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 1pt">Total dividends and distributions</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.39</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.61</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.71</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(0.96</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(1.27</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 1pt solid; text-align: right">(1.60</td>
    <td style="border-bottom: Black 1pt solid; text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Net asset value, end of period</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">10.83</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">10.52</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">10.75</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">9.31</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">7.43</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">19.54</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="padding-bottom: 2pt; text-align: left">Market price, end of period</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">10.08</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">9.25</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">9.67</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">8.24</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">7.00</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">17.29</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: rgb(57,76,135)">Total Investment Return Applicable to Common Shareholders</font></b><b><sup><font style="color: rgb(57,76,135)">2</font></sup></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Based on net asset value</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">7.14</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%<sup>3</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">4.55</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">24.77</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%<sup>4</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">46.46</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">(58.09</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">)%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">(5.03</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">)%</td>
  </tr>

  <tr valign=bottom>

    <td style="padding-bottom: 2pt; text-align: left">Based on market price</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">13.41</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%<sup>3</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">2.20</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">26.81</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">37.59</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">(55.38</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">)%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">(12.05</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">)%</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: rgb(57,76,135)">Ratios to Average Net Assets Applicable to Common Shareholders</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Total expenses<sup>5</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.24</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.14</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.16</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.61</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">2.00</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.32</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Total expenses after fees waived and paid indirectly<sup>5</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.24</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.14</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.14</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.59</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">2.00</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.32</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Total expenses after fees waived and paid indirectly and </td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left; padding-bottom: 2pt">excluding interest expense<sup>5</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.08</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.02</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.13</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.44</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.48</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.29</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Net investment income<sup>5</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">6.79</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">6.56</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">6.28</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">12.45</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">10.79</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">9.38</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Dividends to Preferred Shareholders</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&#151;</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">0.06</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">0.59</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">1.09</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">3.03</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">3.29</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <td style="padding-bottom: 2pt; text-align: left">Net investment income to Common Shareholders</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">6.79</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">6.50</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">5.69</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">11.36</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">7.76</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">6.09</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</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: rgb(57,76,135)">Supplemental Data</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt; text-indent: -12px; padding-left: 12px">Net assets applicable to Common Shareholders, end of period (000)</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">111,636</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">108,529</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">110,808</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">96,048</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">76,430</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">201,155</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Preferred Shares outstanding at $25,000 liquidation preference,</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left; padding-bottom: 2pt">end of period (000)</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&#151;</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">&#151;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">40,250</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">40,250</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">68,250</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">136,500</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Borrowings outstanding, end of period (000)</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">42,901</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">53,268</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">6,083</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">4,972</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">4,024</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">590</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Average borrowings outstanding during the period (000)</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">47,208</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">34,952</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">5,269</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">5,321</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">25,692</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">2,690</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Portfolio turnover</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">19</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">53</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">66</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">36</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">119</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">88</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Asset coverage per Preferred Share at $25,000 liquidation </td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left; padding-bottom: 2pt">preference, end of period</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&#151;</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">&#151;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">93,831</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">84,663</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">53,009</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">61,846</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; padding-bottom: 2pt">Asset coverage, end of period per $1,000</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">3,602</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">3,037</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">&#151;</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">&#151;</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">&#151;</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">&#151;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Based on average shares outstanding.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Aggregate total investment return.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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%. </TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Do not reflect the effect of dividends to Preferred Shareholders.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Annualized.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 62; Value: 55 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="width: 52%; text-align: left; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="font-size: 14pt; color: rgb(57,76,135)">Financial Highlights</FONT></TD>
     <TD STYLE="width: 47%; text-align: right; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="font-size: 8pt; color: rgb(57,76,135)"><B>BlackRock Credit Allocation
     Income Trust II, Inc. (PSY)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial">
<TR vAlign=bottom>
     <TD ROWSPAN="2" STYLE="text-align: center; padding-bottom: 1pt"></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center"><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>April 30,</B><BR>
<B>2012</B><BR>
<B>(Unaudited)</B></TD>
     <TD COLSPAN="15" STYLE="border-bottom: Black 1pt solid; text-align: center"><B><BR>
<BR>
Year Ended October 31,</B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="3" STYLE="text-align: center"><B>2011</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="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: rgb(57,76,135)">Per Share Operating Performance</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="width: 36%; text-align: left; padding-bottom: 1pt">Net asset value, beginning of period</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 3%; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 5%; text-align: right">11.25</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 5%; text-align: right">11.59</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 5%; text-align: right">10.03</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 6%; text-align: right">7.96</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 1%; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 5%; text-align: right">19.93</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 5%; text-align: right">22.36</TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 2%; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net investment income<SUP>1</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.39</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.73</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.72</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1.11</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1.73</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2.02</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net realized and unrealized gain (loss)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.41</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.40</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1.74</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2.17</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(11.84</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(2.35</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Dividends to Preferred Shareholders from net investment income</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">(0.01</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.06</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.09</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.49</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.73</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Net increase (decrease) from investment operations</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.80</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">0.32</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">2.40</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">3.19</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">(10.60</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1.06</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Dividends and distributions to Common Shareholders from:</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Net investment income</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.37</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.66</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.71</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.12</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.15</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.16</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left; padding-bottom: 1pt">Tax return of capital</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&#151;</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">&#151;</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">(0.13</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.00</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)<SUP>2</SUP></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.22</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.21</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 1pt">Total dividends and distributions</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.37</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.66</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.84</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1.12</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1.37</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1.37</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Net asset value, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">11.68</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">11.25</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">11.59</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.03</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7.96</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">19.93</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Market price, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.79</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">9.74</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.39</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.90</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.10</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">16.94</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: rgb(57,76,135)">Total Investment Return Applicable to Common Shareholders</FONT></B><B><SUP><FONT STYLE="color: rgb(57,76,135)">3</FONT></SUP></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Based on net asset value</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7.57</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3.71</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">25.70</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>5</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">48.36</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(55.71</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(4.35</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Based on market price</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14.78</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>4</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.16</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">26.99</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">29.37</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(46.97</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(9.65</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)%</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: rgb(57,76,135)">Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Total expenses<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.11</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.12</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.04</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.41</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.90</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.27</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Total expenses after fees waived and paid indirectly<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.11</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.12</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.03</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.41</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.90</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.27</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-bottom: 2pt; padding-left: 12px">Total expenses after fees waived and paid indirectly and excluding interest expense<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.96</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.01</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.02</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.33</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.40</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.23</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Net investment income<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.87</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.42</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.66</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">15.05</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.71</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">9.29</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Dividends to Preferred Shareholders</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</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">0.11</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.58</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.19</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3.04</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3.34</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Net investment income to Common Shareholders</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.87</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.31</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.08</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13.86</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7.67</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">5.95</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</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: rgb(57,76,135)">Supplemental Data</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-bottom: 2pt; padding-left: 12px">Net assets applicable to Common Shareholders, end of period&nbsp;(000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">476,527</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">459,279</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">472,984</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">409,293</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">323,132</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">809,411</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Preferred Shares outstanding at $25,000 liquidation preference,</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left; padding-bottom: 2pt">end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">169,025</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">169,025</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">275,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">550,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Borrowings outstanding, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">179,538</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">213,033</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">4,020</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">9,511</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">54,369</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">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Average borrowings outstanding during the period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">194,349</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">137,824</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13,407</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">15,842</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">94,908</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14,375</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Portfolio turnover</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">19</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">50</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">73</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">16</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">120</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">81</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Asset coverage per Preferred Share at $25,000 liquidation </TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left; padding-bottom: 2pt">preference, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">94,968</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">85,547</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">54,408</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">61,817</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Asset coverage, end of year per $1,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3,654</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3,156</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">&#151;</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">&#151;</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">&#151;</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">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Based on average shares outstanding.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Amount is less than $(0.01) per share.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Aggregate total investment return.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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%.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Do not reflect the effect of dividends to Preferred Shareholders.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>7</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Annualized.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 63; Value: 56 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; 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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="width: 50%; text-align: left; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="font-size: 14pt; color: rgb(57,76,135)">Financial Highlights</FONT></TD>
     <TD STYLE="width: 49%; text-align: right; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="font-size: 8pt; color: rgb(57,76,135)"><B>BlackRock Credit Allocation
     Income Trust III (BPP)</B></FONT></TD></TR></TABLE><BR>
<table border="0" cellspacing="0" cellpadding="0" style="width: 100%; font: 8pt Arial">

  <tr valign=bottom>

    <td style="text-align: center"></td>
    <td colspan="3" style="text-align: center" rowspan="2"><b>Six Months</b><br>

<b>Ended</b><br>

<b>April 30,</b><br>

<b>2012</b><br>

<b>(Unaudited)</b></td>
    <TD COLSPAN="9" STYLE="text-align: center; border-bottom: Black 1pt solid"><b><BR>
<BR>
Year Ended October 31,</b></td>
    <td colspan="3" style="text-align: center" rowspan="2"><b>Period</b><br>

<b>January 1,</b><br>

<b>2008</b> <b>to</b><br>

<b>October 31,</b><br>

<b>2008</b></td>
    <TD COLSPAN="6" STYLE="text-align: center; border-bottom: Black 1pt solid"><BR>
<BR>
<b>Year Ended December&nbsp;31,</b></td>
  </tr>

  <tr style="vertical-align: bottom" valign="bottom">

    <td style="text-align: center">&nbsp;</td>
    <td colspan="2" style="text-align: center"><b>2011</b></td>
    <td style="text-align: center">&nbsp;</td>
    <td colspan="2" style="text-align: center"><b>2010</b></td>
    <td style="text-align: center">&nbsp;</td>
    <td colspan="2" style="text-align: center"><b>2009</b></td>
    <td style="text-align: center">&nbsp;</td>
    <td colspan="2" style="text-align: center"><b>2007</b></td>
    <td style="text-align: center">&nbsp;</td>
    <td colspan="2" style="text-align: center"><b>2006</b></td>
    <td style="text-align: center">&nbsp;</td>
  </tr>


  <tr valign=bottom>

    <td colspan="22" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Per Share Operating Performance</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="width: 29%; text-align: left">Net asset value, beginning of period</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">$</td>
    <td style="border-bottom: #000000 1px solid; width: 5%; text-align: right">12.07</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</td>
    <td style="border-bottom: #000000 1px solid; width: 6%; text-align: right">12.41</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</td>
    <td style="border-bottom: #000000 1px solid; width: 5%; text-align: right">11.05</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">$</td>
    <td style="border-bottom: #000000 1px solid; width: 5%; text-align: right">8.77</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">$</td>
    <td style="border-bottom: #000000 1px solid; width: 4%; text-align: right">19.47</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</td>
    <td style="border-bottom: #000000 1px solid; width: 6%; text-align: right">24.52</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</td>
    <td style="border-bottom: #000000 1px solid; width: 5%; text-align: right">24.43</td>
    <td style="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Net investment income</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.38</td>
    <td style="text-align: left"><sup>1</sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.70</td>
    <td style="text-align: left"><sup>1</sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.73</td>
    <td style="text-align: left"><sup>1</sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">1.09</td>
    <td style="text-align: left"><sup>1</sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">1.48</td>
    <td style="text-align: left"><sup>1</sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">2.05</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">2.05</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Net realized and unrealized gain (loss)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.42</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.37</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">1.48</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">2.40</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(10.74</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(4.72</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">0.62</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px">Dividends and distributions to Preferred Shareholders&nbsp;from:</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left">Net investment income</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&#151;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.00</td>
    <td style="text-align: left">)<sup>2</sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.01</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.03</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.31</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.62</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.46</td>
    <td style="text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left">Net realized gain</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(0.12</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px">Net increase (decrease) from investment operations</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">0.80</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">0.33</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">2.20</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">3.46</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(9.57</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(3.29</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">2.09</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px">Dividends and distributions to Common Shareholders&nbsp;from:</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left">Net investment income</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.38</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.67</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.76</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.95</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.83</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(1.59</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(1.58</td>
    <td style="text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left">Net realized gain</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&#151;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&#151;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&#151;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&#151;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&#151;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.02</td>
    <td style="text-align: left">)</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">(0.42</td>
    <td style="text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 12px; text-align: left">Tax return of capital</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(0.08</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(0.23</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(0.30</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(0.15</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Total dividends and distributions</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(0.38</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(0.67</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(0.84</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(1.18</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(1.13</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(1.76</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">(2.00</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">)</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt">Net asset value, end of period</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">12.49</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">12.07</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">12.41</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">11.05</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.77</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">19.47</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">24.52</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="padding-bottom: 2pt; text-align: left">Market price, end of period</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">11.43</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.53</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">11.23</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">9.94</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.51</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">17.31</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">26.31</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan="22">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="22" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Total Investment Return Applicable to Common Shareholders</font></b><b><sup><font style="color: rgb(57,76,135)">3</font></sup></b></td>
  </tr>

  <tr valign=bottom>

    <TD NOWRAP STYLE="text-align: left; padding-bottom: 2pt">Based on net asset value</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">7.12</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>4</sup></td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">3.56</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">21.52</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">47.16</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(51.22</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%<sup>4</sup></td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(13.86</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">8.89</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <TD NOWRAP STYLE="padding-bottom: 2pt; text-align: left">Based on market price</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">12.37</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>4</sup></td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(0.16</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">22.25</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">36.42</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(46.76</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%<sup>4</sup></td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(28.62</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">17.98</td>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr>

    <td colspan="22">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="22" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Ratios to Average Net Assets Applicable to Common Shareholders</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt">Total expenses<sup>5</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.15</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.05</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.09</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.66</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.96</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.46</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.62</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px; padding-bottom: 2pt">Total expenses after fees waived and paid&nbsp;indirectly<sup>5</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.15</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.05</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.08</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.64</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.96</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.45</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.62</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>


  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt; padding-left: 12pt; text-indent: -12pt">Total expenses after fees waived and paid indirectly and excluding interest expense<sup>5</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.02</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.96</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.07</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.39</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.39</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.24</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.25</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt">Net investment income<sup>5</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.39</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">5.78</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.31</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13.08</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.53</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.90</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.46</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt">Dividends to Preferred Shareholders</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</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">0.01</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.10</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.38</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2.19</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2.70</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.89</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="padding-bottom: 2pt; text-align: left">Net investment income to Common Shareholders</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.39</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">5.77</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.21</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">12.70</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.34</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<sup>6</sup></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.20</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.58</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr>

    <td colspan="22">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="22" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Supplemental Data</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Net assets applicable to Common Shareholders,</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12px; text-align: left; padding-bottom: 2pt">end of period (000)</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">230,722</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">222,939</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">229,098</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">204,133</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">161,311</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">358,017</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">449,995</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Preferred Shares outstanding at $25,000 liquidation</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12px; text-align: left; padding-bottom: 2pt">preference, end of period (000)</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</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">&#151;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">70,425</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">70,425</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">110,400</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">220,800</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">220,800</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt">Borrowings outstanding, end of period (000)</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">73,925</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">92,971</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">&#151;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13,235</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">44,281</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">&#151;</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">&#151;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt; padding-left: 12pt; text-indent: -12pt">Average borrowings outstanding during the period (000)</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">80,114</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">51,264</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2,121</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">16,330</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">51,995</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">903</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">1,303</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt">Portfolio turnover</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">18</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">48</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">67</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">16</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">121</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">97</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">91</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">Asset coverage per Preferred Share at $25,000 </td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12px; text-align: left; padding-bottom: 2pt">liquidation preference, end of period</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</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">&#151;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">106,328</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">97,465</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">61,540</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">65,554</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">75,965</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt">Asset coverage, end of period per $1,000</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">4,121</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3,398</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">&#151;</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">&#151;</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">&#151;</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">&#151;</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">&#151;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Based on average shares outstanding.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Amount is less than $(0.01) per share.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Aggregate total investment return.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Do not reflect the effect of dividends to Preferred Shareholders.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Annualized.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 64; Value: 55 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->63<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="width: 48%; text-align: left; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="font-size: 16pt; color: rgb(57,76,135)">Financial Highlights</FONT></TD>
     <TD STYLE="width: 51%; text-align: right; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="font-size: 8pt; color: rgb(57,76,135)"><B>BlackRock Credit Allocation
     Income Trust IV (BTZ)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD ROWSPAN="2" STYLE="text-align: center"></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center"><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>April 30,</B><BR>
<B>2012</B><BR>
<B>(Unaudited)</B></TD>
     <TD COLSPAN="12" STYLE="text-align: center; border-bottom: Black 1pt solid"><B><BR>
<BR>
<BR>
Year Ended October 31,</B></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center"><B>Period</B><BR>
<B>December 27,</B><BR>
<B>2006</B><B><SUP>1</SUP></B> <B>to</B><BR>
<B>October 31,</B><BR>
<B>2007</B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="3" STYLE="text-align: center"><B>2011</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></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: rgb(57,76,135)">Per Share Operating Performance</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="width: 35%; text-align: left">Net asset value, beginning of period</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 3%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 6%; text-align: right">13.94</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">14.46</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">12.64</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 1%; text-align: center">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">10.59</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">21.39</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 8%; text-align: right">23.88</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left"><SUP>2</SUP></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net investment income</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.47</TD>
     <TD STYLE="text-align: left"><SUP>3</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.88</TD>
     <TD STYLE="text-align: left"><SUP>3</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.85</TD>
     <TD STYLE="text-align: left"><SUP>3</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.99</TD>
     <TD STYLE="text-align: left"><SUP>3</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1.33</TD>
     <TD STYLE="text-align: left"><SUP>3</SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1.25</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net realized and unrealized gain (loss)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.50</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.54</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2.14</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2.54</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(10.06</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.86</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px">Dividends to Preferred Shareholders from net investment income</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.01</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.07</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.07</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.33</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(0.31</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt; padding-left: 12pt; text-indent: -12pt">Net increase (decrease) from investment operations</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">0.97</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">0.33</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">2.92</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">3.46</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(9.06</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(0.92</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px">Dividends and distributions to Common Shareholders from:</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD 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: 12px; text-align: left">Net investment income</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.47</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.85</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.81</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.93</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.90</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.93</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Tax return of capital</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.29</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.48</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.84</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(0.47</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Total dividends and distributions</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.47</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.85</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(1.10</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(1.41</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(1.74</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(1.40</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Capital charge with respect to issuance of:</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD 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: 12px; text-align: left">Common Shares</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.04</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Preferred Shares</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</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">(0.13</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Total capital charges</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</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">(0.17</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Net asset value, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14.44</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13.94</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14.46</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">12.64</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.59</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">21.39</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Market price, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13.26</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">12.08</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13.02</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.96</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">9.36</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">18.65</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: rgb(57,76,135)">Total Investment Return Applicable to Common Shareholders</FONT></B><B><SUP><FONT STYLE="color: rgb(57,76,135)">4</FONT></SUP></B></TD></TR>
<TR vAlign=bottom>
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2pt">Based on net asset value</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">7.46</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">3.28</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">25.16</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">41.06</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(44.27</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(4.42</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%<SUP>5</SUP></TD></TR>
<TR vAlign=bottom>
     <TD NOWRAP STYLE="padding-bottom: 2pt; text-align: left">Based on market price</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">13.87</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(0.60</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">29.98</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">38.38</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(43.51</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(20.34</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%<SUP>5</SUP></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: rgb(57,76,135)">Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Total expenses<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.14</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.09</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.12</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.60</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.65</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.90</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Total expenses after fees waived and paid indirectly<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.14</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.09</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.11</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.58</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.65</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.88</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px">Total expenses after fees waived and paid indirectly </TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD 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: 12px; text-align: left; padding-bottom: 2pt">and excluding interest expense<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.01</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.99</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.07</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.24</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.21</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.04</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Net investment income<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.82</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.25</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.33</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">9.93</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7.63</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.50</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Dividends to Preferred Shareholders</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</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">0.09</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.50</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.74</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.89</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.64</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Net investment income to Common Shareholders</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.82</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.16</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">5.83</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">9.19</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">5.74</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">4.86</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></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: rgb(57,76,135)">Supplemental Data</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt; padding-left: 12pt; text-indent: -12pt">Net assets applicable to Common Shareholders, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">748,316</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">722,337</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">749,360</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">654,999</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">548,612</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1,108,534</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-bottom: 2pt; padding-left: 12px">Preferred Shares outstanding at $25,000 liquidation preference, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">231,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">231,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">231,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">462,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Borrowings outstanding, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">282,005</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">339,303</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">61,576</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">223,512</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">88,291</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Average borrowings outstanding during the period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">300,482</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">182,843</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">63,660</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">76,521</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">107,377</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">96,468</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Portfolio turnover</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">20</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">54</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">64</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">30</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">126</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">35</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt; padding-left: 12pt; text-indent: -12pt">Asset coverage per Preferred Share at $25,000 liquidation </TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left; padding-bottom: 2pt">preference, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">106,104</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">95,892</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">84,384</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">89,737</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Asset coverage, end of period per $1,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3,654</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3,129</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">&#151;</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">&#151;</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">&#151;</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">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Commencement of operations.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Based on average shares outstanding.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Aggregate total investment return.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Do not reflect the effect of dividends to Preferred Shareholders.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>7</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Annualized.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
<!-- Field: Page; Sequence: 65; Value: 56 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; 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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="width: 49%; text-align: left; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="font-size: 14pt; color: rgb(57,76,135)">Financial Highlights</FONT></TD>
     <TD STYLE="width: 50%; text-align: right; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="font-size: 8pt; color: rgb(57,76,135)"><B>BlackRock Floating Rate
     Income Trust (BGT)</B></FONT></TD></TR></TABLE><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD ROWSPAN="2" STYLE="text-align: center"></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center"><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>April 30,</B><BR>
<B>2012</B><BR>
<B>(Unaudited)</B><B><SUP>1</SUP></B></TD>
     <TD COLSPAN="9" STYLE="text-align: center"><B>Year Ended October 31,</B></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="text-align: center"><B>Period</B><BR>
<B>January 1,</B><BR>
<B>2008</B> <B>to</B><BR>
<B>October 31,</B><BR>
<B>2008</B></TD>
     <TD COLSPAN="6" STYLE="text-align: center"><BR>
<B>Year Ended December&nbsp;31,</B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="3" STYLE="text-align: center"><B>2011</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="22" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Per Share Operating Performance</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="width: 28%; text-align: left">Net asset value, beginning of period</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">13.97</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">14.48</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">13.29</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">11.24</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 7%; text-align: right">17.71</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 6%; text-align: right">19.11</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 1%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">19.13</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net investment income</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.47</TD>
     <TD STYLE="text-align: left"><SUP>2</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1.00</TD>
     <TD STYLE="text-align: left"><SUP>2</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.97</TD>
     <TD STYLE="text-align: left"><SUP>2</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.98</TD>
     <TD STYLE="text-align: left"><SUP>2</SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1.42</TD>
     <TD STYLE="text-align: left"><SUP>2</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2.03</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1.99</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net realized and unrealized gain (loss)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">0.45</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.42</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1.09</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2.72</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(6.62</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.39</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.06</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px">Dividends and distributions to Preferred Shareholders&nbsp;from:</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD 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: 12px; text-align: left">Net investment income</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.00</TD>
     <TD STYLE="text-align: left">)<SUP>3</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.04</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.04</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.24</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.54</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.48</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Net realized gain</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</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">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.01</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px">Net increase (decrease) from investment operations</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">0.92</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">0.58</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">2.02</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">3.66</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">(5.44</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">0.10</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">1.44</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12px; text-indent: -12px">Dividends and distributions to Common Shareholders&nbsp;from:</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD 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: 12px; text-align: left">Net investment income</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.63</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.09</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.83</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.19</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.03</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.14</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1.44</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Net realized gain</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(0.02</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Tax return of capital</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.42</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.36</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Total dividends and distributions</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.63</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(1.09</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(0.83</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(1.61</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(1.03</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(1.50</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(1.46</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Net asset value, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14.26</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13.97</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14.48</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13.29</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">11.24</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">17.71</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">19.11</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Market price, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14.41</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">13.00</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14.52</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">12.58</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">9.63</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">15.78</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">19.27</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="22">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="22" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Total Investment Return Applicable to Common Shareholders</FONT></B><B><SUP><FONT STYLE="color: rgb(57,76,135)">4</FONT></SUP></B></TD></TR>
<TR vAlign=bottom>
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2pt">Based on net asset value</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">6.83</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">4.03</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">15.55</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">39.51</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(31.62</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">0.98</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">7.93</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD NOWRAP STYLE="padding-bottom: 2pt; text-align: left">Based on market price</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">16.01</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(3.46</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">22.41</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">54.14</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(34.24</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%<SUP>5</SUP></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">(10.92</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">)%</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: right">21.31</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR>
     <TD COLSPAN="22">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="22" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Total expenses<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.58</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.73</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.43</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.96</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2.22</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.67</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.75</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt; padding-left: 12pt; text-indent: -12pt">Total expenses after fees waived and paid indirectly<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.51</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.60</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.25</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.68</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.89</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.33</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.43</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-bottom: 2pt; padding-left: 12px">Total expenses after fees waived and paid indirectly and excluding interest expense and fees<SUP>6,8</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.20</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.24</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.15</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.24</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.21</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.16</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.19</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Net investment income<SUP>6</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.78</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.95</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7.01</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.92</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.56</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.83</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10.38</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Dividends to Preferred Shareholders</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</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">0.03</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.27</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">0.38</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1.75</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2.88</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2.51</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Net investment income to Common Shareholders</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.78</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.92</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">6.74</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.54</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8.81</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%<SUP>7</SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7.95</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7.87</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR>
     <TD COLSPAN="22">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="22" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 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: rgb(57,76,135)">Supplemental Data</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Net assets applicable to Common Shareholders,</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD 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: 12px; text-align: left; padding-bottom: 2pt">end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">336,820</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">329,831</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">341,436</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">312,872</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">264,590</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">417,086</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">449,065</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-bottom: 2pt; padding-left: 12px">Preferred Shares outstanding at $25,000 liquidation
     preference, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">58,800</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">58,800</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">58,800</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">243,450</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">243,450</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Borrowings outstanding, end of period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">135,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">122,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">38,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">14,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">123,150</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">26,108</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt; padding-left: 12pt; text-indent: -12pt">Average borrowings outstanding during the period (000)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">110,725</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">120,334</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">24,321</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">53,156</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">71,780</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10,524</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">19,562</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Portfolio turnover</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">30</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">89</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">87</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">42</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">25</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">41</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">50</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">%</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt; padding-left: 12pt; text-indent: -12pt">Asset coverage per Preferred Share at $25,000 </TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left; padding-bottom: 2pt">liquidation preference, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">170,174</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">158,029</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">137,505</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">67,849</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">73,810</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Asset coverage, end of period per $1,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3,495</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3,704</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">&#151;</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">&#151;</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">&#151;</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">&#151;</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">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Consolidated Financial Highlights.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Based on average shares outstanding.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Amount is less than $(0.01) per share.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Aggregate total investment return.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Do not reflect the effect of dividends
to Preferred Shareholders.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>7</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Annualized.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>8</SUP></TD><TD STYLE="width: 5pt"></TD><TD>For the year ended April 30, 2012, the total expense ratio after fees waived and paid
indirectly and excluding interest expense and fees and borrowing costs was 1.09%</TD>
</TR></TABLE>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">See Notes to Financial Statements.</P>
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_011"></A><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements <FONT STYLE="font-size: 10pt">(Unaudited)</FONT></FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>1. Organization and Significant Accounting Policies:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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 1940 Act. 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' financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("US GAAP"), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Boards of Directors and the Boards of Trustees of the Funds are collectively referred to throughout this report as the &#147;Board of Directors&#148; or the &#147;Board&#148;, and the directors/trustees thereof are collectively referred to throughout this report as &#147;Directors&#148;. The Funds determine, and make available for publication the NAVs of their Common Shares on a daily basis.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The following is a summary of significant accounting policies followed by the Funds:</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Basis of Consolidation:</B> BGT&#146;s accompanying consolidated financial statements include the
account of BGT JGW SPV, LLC (the &#147;Taxable Subsidiary&#148;), a wholly owned taxable subsidiary of BGT. The Taxable Subsidiary
enables BGT to hold its investment in J.G. Wentworth LLC Preferred Equity Interests that is organized as an operating partnership
and still satisfy Regulated Investment Company (&#147;RIC&#148;) tax requirements. Income earned and gains realized on the investment
held by the Taxable Subsidiary are taxable to such subsidiary. An income tax provision for all income, including realized and
unrealized gains, if any, is reflected as either a reduction in investment income or as component of realized and unrealized gain
(loss) on the Consolidated Statement of Operations. BGT may invest up to 25% of its total assets in the Taxable Subsidiary. Intercompany
accounts and transactions have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions
that apply to BGT.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Valuation:</B> US GAAP defines fair value as the price the Funds would receive to sell an
asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds
fair value their financial instruments at market value using independent dealers or pricing services under policies approved
by the Board. The Funds value their bond investments on the basis of last available bid prices or current market quotations
provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or
more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing
services may use certain information with respect to transactions in such investments, quotations from dealers, pricing
matrixes, market transactions in comparable investments, various relationships observed in the market between investments and
calculated yield measures. Financial futures contracts traded on exchanges are valued at their last sale price. Swap
agreements are valued utilizing quotes received daily by the Funds' pricing service or through brokers, which are derived
using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades
and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV
each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which
approximates fair value.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Municipal investments (including commitments to purchase such investments on a &#147;when-issued&#148; basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System ("NASDAQ") are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day&#146;s price will be used, unless it is determined that such prior day&#146;s price no longer reflects the fair value of the security.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day&#146;s price will be used, unless it is determined that the prior day&#146;s price no longer reflects the fair value of the option. Over-the-counter (&#147;OTC&#148;) options and swaptions are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">In the event that application of these methods of valuation results in a price for an investment, which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (&#147;Fair Value Assets&#148;). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arm&#146;s-length transaction. Fair value</P>
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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; 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 -->66<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Fund'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 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Foreign Currency Transactions:</B> The Funds' 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' investments denominated in that currency will
lose value because that currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Funds do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Asset-Backed and Mortgage-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 Funds have purchased such an asset-backed security at a premium, a faster
than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Funds may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Zero-Coupon Bonds:</B> The Funds may invest in zero-coupon bonds, which are normally issued at
a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater
volatility in market value than similar maturity debt obligations which provide for regular interest payments.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><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</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><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 leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings.
Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests
are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest
at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are
generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime
rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign
borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments
in debt securities for purposes of their investment policies.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">When the Fund purchases a floating rate loan interest it may receive a facility fee and when it
sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Funds may receive a commitment fee
based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and
commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent
and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Funds upon the
prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Funds may invest in multiple
series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Floating rate loan interests are usually freely callable at the borrower&#146;s option. The Funds may invest in such loans in the form of participations in loans (&#147;Participations&#148;) or assignments ("Assignments") 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' investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Funds may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Funds having a direct contractual relationship with the borrower and the Funds may enforce compliance by the borrower with the terms of the loan agreement.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><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. Securities sold under reverse repurchase
agreements are recorded at face value as a liability in the Statements of Assets and Liabilities. Due to the short term nature
of the reverse repurchase agreements, face value approximates fair value. During the term of the reverse repurchase agreement,
the Funds continue to receive the principal and interest payments on these securities. 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'
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' obligation to repurchase the securities.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Segregation and Collateralization:</B> In cases in which the 1940 Act and the interpretive positions
of the Securities and Exchange Commission (&#147;SEC&#148;) require that the Funds either deliver collateral or segregate assets
in con-</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">nection 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Investment Transactions and Investment Income:</B> For financial reporting purposes, investment
transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment
transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from
foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend
date. 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Dividends and Distributions:</B> Dividends from net investment income are declared and paid monthly.
Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax
year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated
as a tax return of capital. The amount and timing of dividends and distributions are determined in accordance with federal income
tax regulations, which may differ from US GAAP.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Income Taxes:</B> It is each Fund's policy to comply with the requirements of the Internal Revenue
Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income
to its shareholders. Therefore, no federal income tax provision is required.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on 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 the 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Recent Accounting Standards:</B> In May 2011, the Financial Accounting Standards Board (the
&#147;FASB&#148;) issued amended guidance to improve disclosure about fair value measurements, which will require the
following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable
inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a
narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the
interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of
Level 1 and Level 2 will be required to be disclosed as well as disclosure of the level in the fair value hierarchy of assets
and liabilities not recorded at fair value but where fair value is disclosed. The amended guidance is effective for financial
statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is
evaluating the impact of this guidance on the Funds&#146; financial statement disclosures.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds&#146; financial statement disclosures.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan:</B> Under the
deferred compensation plan approved by each Fund's Board, independent Directors (&#147;Independent Directors&#148;) may defer
a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts
had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors. This has
approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred
amounts directly in certain other BlackRock Closed-End Funds.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Prior to March 31, 2012, each Fund elected 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 and dividends and distributions received from the BlackRock Closed-End Fund investments through March 31, 2012 are included in income &#151; affiliated in the Statements of Operations.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Other:</B> Expenses directly related to a Fund are charged to that Fund. Other operating expenses
shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Funds have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>2. Derivative Financial Instruments:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Funds' maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Funds bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the 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 and centrally cleared swaps is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement ("ISDA Master Agreement") implemented between a Fund and each of its respective counterparties. An ISDA Master Agreement allows each Fund to offset with each separate counterparty certain derivative financial instrument&#146;s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. See Note 1 &#147;Segregation and Collateralization&#148; for information with respect to collateral practices. In addition, the Funds manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Funds&#146; net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Financial Futures Contracts:</B> The Funds purchase or sell financial futures contracts and
options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates
(interest rate risk). Financial futures contracts are agreements between the Funds and the counterparty to buy or sell a
specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the
particular contract, financial 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 variation margin and are recorded by the Funds as unrealized appreciation or depreciation.
When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves
the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the
underlying assets.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Foreign Currency Exchange Contracts:</B> The Funds enter into foreign currency exchange contracts
as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies
(foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell
a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Funds, help to manage
the overall exposure to the currencies, in which some of the investments held by the Funds are denominated. The contract is marked-to-market
daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the
Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the
time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange
contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty
to the contract does not perform its obligations under the agreement.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Options:</B> The Funds purchase and write call and put options to increase or decrease their exposure
to underlying instruments (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 Fund enters into a closing transaction), the Funds realize
a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing
transaction exceeds the premiums received or paid). When the Funds write a call option, such option is &#147;covered,&#148; meaning
that the Funds holds the underlying instrument subject to being called by the option counterparty. When the Funds write a put
option, such option is covered by cash in an amount sufficient to cover the obligation.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the</P>
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Funds may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security at a price different from the current market value.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Swaps:</B> The Funds enter into swap agreements, in which the Funds and a counterparty agree to
either make periodic net payments on a specified notional amount or net payment upon termination. Swap agreements are privately
negotiated in the OTC market and may be executed on a registered financial and commodities exchange (&#147;centrally cleared swaps&#148;).
In a centrally cleared swap, the Funds typically enter into an agreement with a counterparty; however, performance is guaranteed
by the central clearing-house reducing or eliminating the Funds&#146; exposure to the credit risk of the counterparty. 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). The daily
change in valuation of centrally cleared swaps, if any, is recorded as a receivable or payable for variation margin in the Statements
of Assets and Liabilities. 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' basis in the contract, if any. Generally, the basis
of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit
and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility
that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation
to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes
in interest rates and/or market values associated with these transactions.</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>Credit default swaps &#151; The Funds enter into credit default swaps to manage their
exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign
issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The
Funds enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer
of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Funds
may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of
single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed
periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative
credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation,
moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments
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.</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">&#149;</TD><TD STYLE="width: 5pt"></TD><TD>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.</TD>
</TR></TABLE>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Derivative Financial Instruments Categorized by Risk Exposure:</B></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">

  <tr valign=bottom>

    <TD COLSPAN="12" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><b>Fair Values of Derivative Financial Instruments as of April 30, 2012</b></td>
  </tr>

  <tr valign=bottom>

    <TD ROWSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD COLSPAN="10" STYLE="border-bottom: #000000 1px solid; text-align: center"><b>Asset Derivatives</b></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>PSW</b></td>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><b>PSY</b></td>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><b>BPP</b></td>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><b>BTZ</b></td>
    <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><b>BGT</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><b>Statements of Assets</b><br>

<b>and Liabilities Location</b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <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>Value</b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD ROWSPAN="2" STYLE="text-align: left; vertical-align: top">Foreign currency exchange contracts</td>
    <TD ROWSPAN="2" STYLE="text-align: left; vertical-align: bottom; width: 25%">Unrealized appreciation on foreign currency contracts </td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD 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: 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: right">&#151;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&#151;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&#151;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&#151;</td>
    <TD STYLE="text-align: left">&nbsp;&nbsp;$</td>
    <TD STYLE="text-align: right">32,307</td>
  </tr>

  <tr valign=bottom>

    <TD ROWSPAN="2" STYLE="text-align: left; vertical-align: top">Equity contracts</td>
    <TD ROWSPAN="2" STYLE="text-align: left; vertical-align: bottom">Net unrealized appreciation/depreciation<sup>1</sup></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD 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: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">$</td>
    <TD STYLE="text-align: right">17,420</td>
    <TD STYLE="text-align: right">&nbsp;&nbsp;$</td>
    <TD STYLE="text-align: right">74,100</td>
    <TD STYLE="text-align: right">&nbsp;&nbsp;$</td>
    <TD STYLE="text-align: right">35,880</td>
    <TD STYLE="text-align: right">&nbsp;&nbsp;$</td>
    <TD STYLE="text-align: right">122,720</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&#151;</td>
  </tr>

  <tr valign=bottom>

    <TD ROWSPAN="3" STYLE="text-align: left; vertical-align: top">Interest rate contracts</td>
    <TD ROWSPAN="3" STYLE="text-align: left; vertical-align: bottom">Net unrealized appreciation/depreciation<sup>1</sup>; Investments at value &#151; unaffiliated<sup>2</sup></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD 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: 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: 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: 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: right">133,243</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">554,375</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">653,270</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">2,247,419</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&#151;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; vertical-align: top">Credit contracts</td>
    <TD STYLE="text-align: left; vertical-align: bottom">Unrealized appreciation on swaps<sup>1</sup></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD 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: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">Investments at value &#151; unaffiliated<sup>2</sup></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">35,265</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">154,685</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">87,542</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">254,130</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt"><b>Total</b></td>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">185,928</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">783,160</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">776,692</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2,624,269</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;&nbsp;$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">32,307</td>
  </tr>
</table><BR>
<!-- Field: Page; Sequence: 72; Value: 55 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">APRIL 30, 2012</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: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">

  <tr valign=bottom>

    <td style="width: 20%; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; width: 22%; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <td colspan="15" style="border-bottom: #000000 1px solid; width: 53%; text-align: center; border-top: Black 1pt solid"><b>Liability Derivatives</b></td>
  </tr>

  <tr valign=bottom>

    <td width="20%" align=center>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="22%" align=center>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="11%" colspan=3 align=center><b>PSW</b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="11%" colspan=3 align=center><b>PSY</b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="11%" colspan=3 align=center><b>BPP</b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="10%" colspan=3 align=center><b>BTZ</b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="10%" colspan=3 align=center><b>BGT</b></td>
  </tr>

  <tr valign=bottom>

    <td style="BORDER-BOTTOM: #000000 1px solid" width="20%" align=center>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="22%" align=center><b>Statements of Assets</b><br>

<b>and Liabilities Location</b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=center>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="51%" colspan=14 align=center><b>Value</b></td>
  </tr>

  <tr valign=bottom>

    <td width="20%" align=left rowspan="2" valign="top">Foreign currency exchange contracts</td>
    <td width="22%" align=left>Unrealized depreciation on</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td width="22%" align=left>foreign currency contracts</td>
    <TD WIDTH="2%" ALIGN="RIGHT" STYLE="text-align: left">$</td>
    <td width="7%" align=right>(1,070</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>$</td>
    <td width="7%" align=right>(2,375</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=right>&#151;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=right>&#151;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>$</td>
    <td width="6%" align=right>(434,126</td>
    <td width="2%" align=left>)</td>
  </tr>

  <tr valign=bottom>

    <td width="20%" align=left rowspan="2" valign="top">Equity contracts</td>
    <td width="22%" align=left>Net unrealized appreciation/</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td width="22%" align=left>depreciation<sup>1</sup></td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=right>(12,394</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=right>(51,763</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>$</td>
    <td width="7%" align=right>(25,517</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>$</td>
    <td width="6%" align=right>(86,029</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=right>&#151;</td>
    <td width="2%" align=left>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td width="20%" align=left rowspan="3" valign="top">Interest rate contracts</td>
    <td width="22%" align=left>Net unrealized appreciation/</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td width="22%" align=left>depreciation<sup>1</sup>; Unrealized depreciation</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td width="22%" align=left>on swaps<sup>1</sup>; Options written at value<sup>2</sup></td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=right>(602,845</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=right>(2,531,979</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=right>(2,168,613</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=right>(8,072,979</td>
    <td width="2%" align=left>)</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=right>&#151;</td>
    <td width="2%" align=left>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td width="20%" align=left>Credit contracts</td>
    <td width="22%" align=left>Unrealized depreciation on swaps<sup>1</sup>;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="7%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
    <td width="2%" align=right>&nbsp;</td>
    <td width="6%" align=left>&nbsp;</td>
    <td width="2%" align=left>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td width="20%" align=left>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="22%" align=left>Options written at value<sup>2</sup></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=right>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="7%" align=right>(29,734</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=left>)</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=right>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="7%" align=right>(127,551</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=left>)</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=right>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="7%" align=right>(51,777</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=left>)</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=right>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="6%" align=right>(148,628</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=left>)</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=right>&nbsp;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="6%" align=right>&#151;</td>
    <td style="BORDER-BOTTOM: #000000 1px solid" width="2%" align=left>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td width="20%" align="LEFT" style="padding-bottom: 2pt"><b>Total</b></td>
    <td style="width: 22%; text-align: left">&nbsp;</td>
    <TD WIDTH="2%" ALIGN="RIGHT" STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <td width="7%" align="RIGHT" style="border-bottom: Black 2pt solid">(646,043</td>
    <td width="2%" align="LEFT" style="border-bottom: Black 2pt solid">)</td>
    <td width="2%" align="RIGHT" style="border-bottom: Black 2pt solid">$</td>
    <td width="7%" align="RIGHT" style="border-bottom: Black 2pt solid">(2,713,668</td>
    <td width="2%" align="LEFT" style="border-bottom: Black 2pt solid">)</td>
    <td width="2%" align="RIGHT" style="border-bottom: Black 2pt solid">$</td>
    <td width="7%" align="RIGHT" style="border-bottom: Black 2pt solid">(2,245,907</td>
    <td width="2%" align="LEFT" style="border-bottom: Black 2pt solid">)</td>
    <td width="2%" align="RIGHT" style="border-bottom: Black 2pt solid">$</td>
    <td width="6%" align="RIGHT" style="border-bottom: Black 2pt solid">(8,307,636</td>
    <td width="2%" align="LEFT" style="border-bottom: Black 2pt solid">)</td>
    <td width="2%" align="RIGHT" style="border-bottom: Black 2pt solid">$</td>
    <td width="6%" align="RIGHT" style="border-bottom: Black 2pt solid">(434,126</td>
    <td width="2%" align="LEFT" style="border-bottom: Black 2pt solid">)</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Includes cumulative appreciation/depreciation on financial futures contracts and centrally
cleared swaps as reported in the Schedules of Investments. Only the current day&#146;s variation margin is reported within the
Statements of Assets and Liabilities.</TD>
</TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Includes options purchased at value as reported in the Schedules of Investments.</TD>
</TR></TABLE>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD COLSPAN="15" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>The Effect of Derivative Financial Instruments in the Statements of Operations</B><BR>
<B>Six Months Ended April 30, 2012</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="14" 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: center">&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>PSY</B></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 12px; text-align: center"><B>BPP</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>BTZ</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>BGT</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Interest rate contracts:</TD>
     <TD 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></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Financial futures contracts</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">(358,576</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;$</TD>
     <TD STYLE="text-align: right">&nbsp;(1,388,225</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">(497,124</TD>
     <TD STYLE="text-align: left">)&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">&nbsp;(1,600,523</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Options<SUP>3</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">66,111</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">283,651</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">128,164</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">445,610</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Swaps</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(576,334</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(2,479,278</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,108,195</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(3,405,203</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Foreign currency exchange contracts:</TD>
     <TD 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></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Foreign&nbsp;currency&nbsp;exchange&nbsp;contracts</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151; </TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">1,819,350</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Credit contracts:</TD>
     <TD 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></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Swaps</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(64,353</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(272,297</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">(139,416</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(515,188</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Equity contracts:</TD>
     <TD 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></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Options<SUP>3</SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">26,635</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">111,851</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">54,518</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">185,697</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">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left"><B>Total</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(906,517 </TD>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid">)&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid">(3,744,298</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid">)</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid">&nbsp;$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid">(1,562,053</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid">)&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid">$</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid">&nbsp;(4,889,607</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1,819,350</TD></TR>
<TR>
     <TD COLSPAN="15">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="14" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Net Change in Unrealized Appreciation/Depreciation on</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>PSW</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>PSY</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>BPP</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>BTZ</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>BGT</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Interest rate contracts:</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Financial futures contracts</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">(340,848</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">(1,407,481</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: center">$</TD>
     <TD STYLE="text-align: right">(459,337</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">(1,926,895</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Options<SUP>3</SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">41,296</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">187,017</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">99,516</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">403,296</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Swaps</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">118,094</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">527,155</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">159,052</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">129,819</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Foreign currency exchange contracts:</TD>
     <TD 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></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Foreign currency exchange contracts</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,037</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">6,642</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">288,994</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Credit contracts:</TD>
     <TD 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></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Swaps</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">109,542</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">472,766</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">237,452</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">862,070</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Equity contracts:</TD>
     <TD 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></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Options<SUP>3</SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(179,647</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(764,695</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(370,025</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(1,266,277</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt"><B>Total</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(250,526</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(978,596</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(333,342</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(1,797,987</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">288,994</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD><TD STYLE="width: 5pt"></TD><TD>Options purchased are included in the net realized gain (loss) from investments and
net change in unrealized appreciation/depreciation on investments.</TD>
</TR></TABLE>
<!-- Field: Page; Sequence: 73; Value: 56 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; 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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">For the six months ended April 30, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1px solid; border-top: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; border-top: Black 1pt solid; text-align: center"><B>PSW</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; border-top: Black 1pt solid; text-align: center"><B>PSY</B></TD>
     <TD STYLE="border-bottom: Black 1px solid; border-top: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; border-top: Black 1pt solid; text-align: center"><B>BPP</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; border-top: Black 1pt solid; text-align: center"><B>BTZ</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; border-top: Black 1pt solid; text-align: center"><B>BGT</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Financial futures contracts:</TD>
     <TD 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: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Average number of contracts purchased</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">16</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">69</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">59</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">196</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Average number of contracts sold</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">168</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">650</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">233</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">801</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Average notional value of contracts purchased</TD>
     <TD STYLE="text-align: right">&nbsp;&nbsp;$</TD>
     <TD STYLE="text-align: right">1,980,750</TD>
     <TD STYLE="text-align: right">&nbsp;&nbsp;&nbsp;$</TD>
     <TD STYLE="text-align: right">8,541,984</TD>
     <TD STYLE="text-align: right">&nbsp;&nbsp;&nbsp;$</TD>
     <TD STYLE="text-align: right">7,723,453</TD>
     <TD STYLE="text-align: right">&nbsp;&nbsp;$</TD>
     <TD STYLE="text-align: right">25,948,914</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Average notional value of contracts sold</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">22,699,253</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">87,516,159</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">34,452,875</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">106,018,797</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Foreign currency exchange contracts:</TD>
     <TD 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: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average number of contracts-US dollars purchased</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Average number of contracts-US dollars sold</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Average US dollar amounts purchased</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">351,351</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">1,029,007</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;&nbsp;$</TD>
     <TD STYLE="text-align: right">72,125,864</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Average US dollar amounts sold</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">1,482,987</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options:</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average number of option contracts purchased</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">67</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">285</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">138</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">472</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">26</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12px; text-align: left">Average number of option contracts written</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">884</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">3,693</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1,819</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">6,136</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average notional value of option contracts purchased</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">8,040,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">34,200,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">16,560,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">56,640,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">24,514</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average notional value of option contracts written</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">4,917,500</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">20,822,500</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">10,127,500</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">34,515,000</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average number of swaption contracts purchased</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">8</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">8</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">7</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">7</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average number of swaption contracts written</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average notional value of swaption contracts purchased</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">10,200,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">42,600,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">18,250,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">62,800,000</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average notional value of swaption contracts written</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">7,000,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">29,500,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">29,650,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">101,750,000</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Credit default swaps:</TD>
     <TD 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: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average number of contracts-buy protection</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">6</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">6</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">6</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">4</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average number of contracts-sell protection</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average notional value-buy protection</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">8,090,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">34,915,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">17,990,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">51,730,000</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average notional value-sell protection</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">2,839,884</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">12,410,665</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">5,819,788</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">20,371,766</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Interest rate swaps:</TD>
     <TD 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: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average number of contracts-pays fixed rate</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">5</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">4</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average number of contracts-receives fixed rate</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">2</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">1</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">2</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px">Average notional value-pays fixed rate</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">8,100,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">35,000,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">18,650,000</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">53,750,000</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: -12px; text-align: left; padding-left: 24px; border-bottom: Black 1px solid">Average notional value-receives fixed rate</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">1,300,000</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">5,850,000</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">2,100,000</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">15,650,000</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&#151;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>3. Investment Advisory Agreement and Other Transactions with Affiliates:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">As of April 30, 2012, the PNC Financial Services Group, Inc. ("PNC") and Barclays Bank PLC ("Barclays") are the largest stockholders of BlackRock, Inc. ("BlackRock"). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the &#147;Manager&#148;), the Funds' 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'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 (average weekly for BPP, BTZ and BGT) net assets (including any assets attributable to borrowings) as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" WIDTH="100%" CELLPADDING="0" STYLE="font: 10pt Arial">
<TR vAlign=bottom>
     <TD STYLE="width: 46%; text-align: left; border-top: Black 1pt solid">PSW</TD>
     <TD STYLE="width: 48%; text-align: right; border-top: Black 1pt solid">0.60</TD>
     <TD STYLE="width: 5%; text-align: left; border-top: Black 1pt solid">%</TD></TR>
<TR vAlign=bottom>
     <TD width="46%" align=left>PSY</TD>
     <TD width="48%" align=right>0.60</TD>
     <TD width="5%" align=left>%</TD></TR>
<TR vAlign=bottom>
     <TD width="46%" align=left>BPP</TD>
     <TD width="48%" align=right>0.65</TD>
     <TD width="5%" align=left>%</TD></TR>
<TR vAlign=bottom>
     <TD width="46%" align=left>BTZ</TD>
     <TD width="48%" align=right>0.65</TD>
     <TD width="5%" align=left>%</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" width="46%" align=left>BGT</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" width="48%" align=right>0.75</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" width="5%" align=left>%</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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) minus the sum of liabilities (other than borrowings representing financial leverage) by 0.05% for the period September 1, 2011 to August 31, 2012. For the six months ended April 30, 2012, the Manager waived $392, which is included in fees waived by advisor in the Statements of Operations.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund's investment in other affiliated investment companies, if any. These amounts are included in fees waived by advisor in the Statements of Operations. For the six months ended April 30, 2012, the amounts waived were as follows:</P>
<TABLE style="FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 width="100%">
<TR vAlign=bottom>
     <TD STYLE="width: 48%; text-align: left; border-top: Black 1pt solid">PSW</TD>
     <TD STYLE="width: 45%; text-align: right; border-top: Black 1pt solid">$</TD>
     <TD STYLE="width: 5%; text-align: right; border-top: Black 1pt solid">491</TD></TR>
<TR vAlign=bottom>
     <TD width="48%" align=left>PSY</TD>
     <TD width="45%" align=right>$</TD>
     <TD width="5%" align=right>1,276</TD></TR>
<TR vAlign=bottom>
     <TD width="48%" align=left>BPP</TD>
     <TD width="45%" align=right>$</TD>
     <TD width="5%" align=right>772</TD></TR>
<TR vAlign=bottom>
     <TD width="48%" align=left>BTZ</TD>
     <TD width="45%" align=right>$</TD>
     <TD width="5%" align=right>1,945</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" width="48%" align=left>BGT</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" width="45%" align=right>$</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" width="5%" align=right>332</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Manager provides investment management and other services to the Taxable Subsidiary. The Manager does not receive separate compensation from the Taxable Subsidiary for providing investment management or administrative services. However, the Fund pays the Manager based on the Fund&#146;s net assets, which includes the assets of the Taxable Subsidiary.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. ("BFM"), 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for compensation paid to the Funds' Chief Compliance Officer.</P>
<!-- Field: Page; Sequence: 74; Value: 55 -->
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>4. Investments:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Purchases and sales of investments including paydowns and payups, excluding short-term securities and US government securities for the six months ended April 30, 2012, were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Purchases</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Sales</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 50%">PSW</TD>
     <TD STYLE="text-align: right; width: 5%">$</TD>
     <TD STYLE="text-align: right; width: 20%">23,218,848</TD>
     <TD STYLE="text-align: right; width: 5%">$</TD>
     <TD STYLE="text-align: right; width: 20%">34,001,374</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">PSY</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">100,161,146</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">138,042,751</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">BPP</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">43,854,009</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">61,164,086</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">BTZ</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">163,512,893</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">219,531,092</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">BGT</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">159,291,732</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">133,965,223</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Purchases and sales of US government securities for the six months ended April 30, 2012, were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 10pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Purchases</B></TD>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Sales</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="width: 50%; text-align: left">PSW</TD>
     <TD STYLE="width: 5%; text-align: right">$</TD>
     <TD STYLE="width: 20%; text-align: right">5,304,724</TD>
     <TD STYLE="width: 5%; text-align: right">$</TD>
     <TD STYLE="width: 20%; text-align: right">4,200,371</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">PSY</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">19,942,739</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">16,801,794</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">BPP</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">9,397,688</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">9,351,402</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">BTZ</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">35,594,950</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">29,384,746</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Transactions in options written for the six months ended April 30, 2012 were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 9pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="8" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Calls</B></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="8" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Puts</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD ROWSPAN="2" COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Contracts</B></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Notional</B><BR>
<B>(000</B><B>)</B></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Premiums</B><BR>
<B>Received</B></TD>
     <TD ROWSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;&nbsp;&nbsp;</TD>
     <TD ROWSPAN="2" COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Contracts</B></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Notional</B><BR>
<B>(000</B><B>)</B></TD>
     <TD ROWSPAN="2" COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Premiums</B><BR>
<B>Received</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B>PSW</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>
     <TD 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"></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: 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">Outstanding options, beginning of period</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">1,800</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">64,800</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">1,800</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">64,800</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options written</TD>
     <TD STYLE="text-align: right">3,333</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,100</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">132,945</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">67</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">11,500</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">301,372</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options exercised</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options expired</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(1,800</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(64,800</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options closed</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(1,633</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(2,900</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(178,535</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(67</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(9,100</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(254,572</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Outstanding options, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1,700</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">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">19,210</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">2,400</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">46,800</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="18">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><B>PSY</B></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Outstanding options, beginning of period</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">7,700</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">277,200</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">7,700</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">277,200</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options written</TD>
     <TD STYLE="text-align: right">14,443</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">4,900</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">582,663</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">285</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">48,500</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,280,613</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options excerised</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options expired</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(7,700</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(277,200</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options closed</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(7,343</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(12,600</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(779,633</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(285</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(38,900</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(1,093,413</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Outstanding options, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">7,100</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">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">80,230</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">9,600</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">187,200</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="18">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><B>BPP</B></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Outstanding options, beginning of period</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">8,700</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">425,700</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">8,700</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">425,700</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options written</TD>
     <TD STYLE="text-align: right">6,969</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">164,701</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">138</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">31,900</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">552,940</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options exercised</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(3,700</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(133,200</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options expired</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options closed</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(3,469</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(3,700</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(258,351</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(138</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(16,500</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(413,020</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="padding-bottom: 2pt; text-align: left">Outstanding options, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">3,500</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">5,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">332,050</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">20,400</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">432,420</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="18">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><B>BTZ</B></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Outstanding options, beginning of period</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">30,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">1,461,850</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">30,000</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">1,461,850</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options written</TD>
     <TD STYLE="text-align: right">23,836</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">563,326</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">472</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">109,500</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">1,897,460</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options exercised</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options expired</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(13,000</TD>
     <TD STYLE="text-align: left">)</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">(467,350</TD>
     <TD STYLE="text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Options closed</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(12,036</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(13,000</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(897,336</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(472</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(56,500</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(1,413,410</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Outstanding options, end of period</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">11,800</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">17,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1,127,840</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&#151;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">70,000</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">1,478,550</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<!-- Field: Page; Sequence: 75; Value: 56 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-bottom: 12pt; 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%">SEMI-ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">APRIL 30, 2012</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>5. Income Tax Information:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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:</P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 9pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: left"><B>Expires October 31,</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>PSW</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>PSY</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>BPP</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>BTZ</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>BGT</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 35%">2012</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">10,243,141</TD>
     <TD STYLE="text-align: right">&nbsp;$</TD>
     <TD STYLE="text-align: right">62,733,648</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">2013</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">5,058,900</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">17,911,331</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">2014</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">8,481,628</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">12,145,117</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&#151;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">2015</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">6,724,694</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">19,582,978</TD>
     <TD STYLE="text-align: right">&nbsp;$</TD>
     <TD STYLE="text-align: right">18,184,893</TD>
     <TD STYLE="text-align: right">&nbsp;$</TD>
     <TD STYLE="text-align: right">49,741,712</TD>
     <TD STYLE="text-align: right">&nbsp;$</TD>
     <TD STYLE="text-align: right">3,268,804</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">2016</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">40,232,230</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">140,413,242</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">58,197,929</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">113,355,213</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">24,616,531</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">2017</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">55,825,534</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">194,970,854</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">108,996,120</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">223,939,227</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">45,385,443</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">2018</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">4,498,024</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">37,285,625</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">15,245,888</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">15,223,841</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">16,526,601</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">2019</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">2,118,889</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">11,730,113</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">2,683,880</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">10,353,275</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">406,589</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B>Total</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">133,183,040</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">496,772,908</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">203,308,710</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">412,613,268</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">90,203,968</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">As of April 30, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 9pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>PSW</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>PSY</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>BPP</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>BTZ</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>BGT</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="width: 35%; text-align: left; padding-bottom: 2pt">Tax cost</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">144,062,731</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">617,375,114</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">291,188,282</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; width: 0">983,935,275</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">487,454,847</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Gross unrealized appreciation</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">10,316,219</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">42,243,469</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">19,031,366</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">57,977,988</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right">10,646,677</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Gross unrealized depreciation</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">(1,714,543</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(10,256,188</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(8,374,221</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(22,412,823</TD>
     <TD STYLE="border-bottom: #000000 1px solid; 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">(12,442,061</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">)</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt">Net unrealized appreciation (depreciation)</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">8,601,676</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">31,987,281</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">10,657,145</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">35,565,165</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">(1,795,384</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">)</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>6. Borrowings:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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 Fund has granted a security interest in substantially all of its assets to SSB. The SSB Agreement provides the Fund with a maximum commitment of $172.2 million.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Advances will be made by SSB to the Fund, at the Fund&#146;s option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% above 7-day, 30-day, 60-day or 90-day LIBOR.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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 April 30, 2012 are shown in the Statements of Assets and Liabilities as loan payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The SSB Agreement was renewed for 364 days under substantially the same terms effective March 2, 2012. For the six months ended April 30, 2012, the daily weighted average interest rate was 0.95%.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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%.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">For the six months ended April 30, 2012, the daily weighted average interest rates for Funds with borrowings from reverse repurchase agreements were as follows:</P>
<TABLE BORDER="0" CELLSPACING="0" WIDTH="100%" CELLPADDING="0" STYLE="font: 10pt Arial">
<TR vAlign=bottom>
     <TD style="BORDER-TOP: #000000 1px solid" width="46%" align=left>PSW</TD>
     <TD style="BORDER-TOP: #000000 1px solid" width="48%" align=right>0.38</TD>
     <TD style="BORDER-TOP: #000000 1px solid" width="5%" align=left>%</TD></TR>
<TR vAlign=bottom>
     <TD width="46%" align=left>PSY</TD>
     <TD width="48%" align=right>0.37</TD>
     <TD width="5%" align=left>%</TD></TR>
<TR vAlign=bottom>
     <TD width="46%" align=left>BPP</TD>
     <TD width="48%" align=right>0.37</TD>
     <TD width="5%" align=left>%</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" width="46%" align=left>BTZ</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" width="48%" align=right>0.35</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" width="5%" align=left>%</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>7. Commitments:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Funds may invest in floating rate loan interests. In connection with these investments, the Funds may also enter into unfunded floating rate loan interests and bridge loan commitments (&#147;commitments&#148;). Bridge loan commitments may obligate the Funds to furnish temporary financing to a borrower until permanent financing can be arranged. At April 30, 2012, BGT had outstanding bridge loan commitments of $3,765,000. In connection with either of these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. The unrecognized commitment fee income is recorded on the Statements of Assets and Liabilities as deferred income. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of April 30, 2012, BGT had the following unfunded floating rate loan interests:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 9pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; width: 34%; text-align: left"><B>Borrower</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; width: 27%; text-align: center"><B>Unfunded</B><BR>
<B>Floating Rate</B><BR>
<B>Loan Interest</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; width: 22%; text-align: center"><B>Value of</B><BR>
<B>Underlying</B><BR>
<B>Floating Rate</B><BR>
<B>Loan Interest</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; width: 14%; text-align: center"><B>Unrealized</B><BR>
<B>Appreciation</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="width: 34%; text-align: left">Tronox Worldwide LLC,</TD>
     <TD STYLE="width: 5%; text-align: right">&nbsp;</TD>
     <TD STYLE="width: 22%; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 5%; text-align: right">&nbsp;</TD>
     <TD STYLE="width: 17%; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 2%; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 12%; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 12px; width: 34%; text-align: left">Delayed Draw Term Loan</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 22%; text-align: center">465,000</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 5%; text-align: right">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 17%; text-align: center">465,646</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 2%; text-align: left">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; width: 12%; text-align: right">646</TD></TR></TABLE><BR>
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (continued)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>8. Concentration, Market and Credit Risk:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">As of April 30, 2012, 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counter-party credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds' exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Funds' Statements of Assets and Liabilities, less any collateral held by the Funds.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>9. Capital Share Transactions:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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 Common Shares to Preferred Shares without approval of Common Shareholders. 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Common Shares</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:</P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 9pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; width: 53%; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; width: 30%; text-align: center"><B>Six Months</B><BR>
<B>Ended</B><BR>
<B>April 30,</B><BR>
<B>2012</B></TD>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; width: 15%; text-align: center"><B>Year Ended</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">BGT</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">6,757</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">39,329</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Shares issued and outstanding remained constant for the six months ended April 30, 2012 and the year ended October 31, 2011 for PSW, PSY, BPP and BTZ, respectively.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Preferred Shares</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">During the year ended October 31, 2011, the Funds announced the following redemptions of Preferred Shares at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:</P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 9pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Series</B></TD>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Redemption</B><BR>
<B>Date</B></TD>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Shares</B><BR>
<B>Redeemed</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Aggregate</B><BR>
<B>Principal</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="width: 35%; text-align: left">PSW</TD>
     <TD STYLE="text-align: right; width: 9%">M7</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
     <TD STYLE="width: 15%; text-align: right; padding-right: 20px">12/07/10</TD>
     <TD STYLE="width: 15%; text-align: right; padding-right: 20px">805</TD>
     <TD STYLE="width: 5%; text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="width: 15%; text-align: right; padding-right: 20px">20,125,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">T7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">12/08/10</TD>
     <TD STYLE="text-align: right; padding-right: 20px">805</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">20,125,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">PSY</TD>
     <TD STYLE="text-align: right">M7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/04/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">861</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">21,525,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">T7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/05/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">861</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">21,525,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">W7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/06/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">861</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">21,525,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">R7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/07/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">861</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">21,525,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">F7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/10/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">861</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">21,525,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">W28</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/13/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1,228</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">30,700,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">R28</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/28/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1,228</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">30,700,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">BPP</TD>
     <TD STYLE="text-align: right">T7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">12/08/10</TD>
     <TD STYLE="text-align: right; padding-right: 20px">939</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">23,475,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">W7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">12/09/10</TD>
     <TD STYLE="text-align: right; padding-right: 20px">939</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">23,475,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">R7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">12/10/10</TD>
     <TD STYLE="text-align: right; padding-right: 20px">939</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">23,475,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">BTZ</TD>
     <TD STYLE="text-align: right">T7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/05/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">2,310</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">57,750,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">W7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/06/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">2,310</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">57,750,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">R7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/07/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">2,310</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">57,750,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">F7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">1/10/11</TD>
     <TD STYLE="text-align: right; padding-right: 20px">2,310</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">57,750,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">BGT</TD>
     <TD STYLE="text-align: right">T7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">12/08/10</TD>
     <TD STYLE="text-align: right; padding-right: 20px">784</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">19,600,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">W7</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20px">12/09/10</TD>
     <TD STYLE="text-align: right; padding-right: 20px">784</TD>
     <TD STYLE="text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="text-align: right; padding-right: 20px">19,600,000</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">R7</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 20px">12/10/10</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 20px">784</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 20px">$</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 20px">19,600,000</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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.</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Notes
to Financial Statements (concluded)</FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>10. Subsequent Events:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Management&#146;s evaluation of the impact of all subsequent events on the Funds&#146; financial statements was completed through the date the financial statements were issued and the following items were noted:</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Funds paid a net investment income dividend in the following amounts per share on May 31, 2012 to Common Shareholders on record on May 15, 2012:</P>
<TABLE BORDER="0" CELLSPACING="0" WIDTH="100%" CELLPADDING="0" STYLE="font: 10pt Arial">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Common</B><BR>
<B>Dividend</B><BR>
<B>Per Share</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="width: 68%; text-align: left">PSW</TD>
     <TD STYLE="width: 27%; text-align: center">$0.0595</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">PSY</TD>
     <TD STYLE="text-align: center">$0.0610</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">BPP</TD>
     <TD STYLE="text-align: center">$0.0635</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">BTZ</TD>
     <TD STYLE="text-align: center">$0.0785</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">BGT</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">$0.0775</TD></TR></TABLE><BR>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Additionally, the Funds declared a net investment income dividend on June 1, 2012 payable to Common Shareholders of record on June 15, 2012 for the same amounts noted above.</P>
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<BR>
<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_012"></A><FONT STYLE="color: #394c87">Officers
and Directors<SUP>1</SUP></FONT></P>

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<DIV STYLE="margin-right: 20pt; width: 48%; float: left;">


<P STYLE="text-align: left; font-family: Arial, Helvetica, Sans-Serif">Richard E. Cavanagh, Chairman of the Board and Director<BR>
Karen P. Robards, Vice Chairperson of the Board,<BR>
&nbsp;&nbsp;&nbsp;Chairperson of the Audit Committee and Director<BR>
Paul L. Audet, Director<BR>
Michael J. Castellano, Director and Member of the Audit <BR>
&nbsp;&nbsp;&nbsp;Committee<BR>
Frank J. Fabozzi, Director and Member of the Audit <BR>
&nbsp;&nbsp;&nbsp;Committee<BR>
Kathleen F. Feldstein, Director<BR>
James T. Flynn, Director and Member of the Audit <BR>
&nbsp;&nbsp;&nbsp;Committee<BR>
Henry Gabbay, Director<BR>
Jerrold B. Harris, Director<BR>
R. Glenn Hubbard, Director<BR>
W. Carl Kester, Director and Member of the Audit Committee<BR>
John M. Perlowski, President and Chief Executive Officer<BR>
Anne Ackerley, Vice President<BR>
Brendan Kyne, Vice President<BR>
Neal Andrews, Chief Financial Officer<BR>
Jay Fife, Treasurer<BR>
Brian Kindelan, Chief Compliance Officer and<BR>
&nbsp;&nbsp;&nbsp;Anti-Money Laundering Officer<BR>
Ira P. Shapiro, Secretary</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD><TD STYLE="width: 5pt"></TD><TD>John F. Powers, who was a Director of the Fund, resigned as of February 21, 2012.</TD>
</TR></TABLE>


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</DIV><DIV style="width: 48%; float: right;">



<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> <B>Investment Advisor</B><BR>
BlackRock Advisors, LLC<BR>
Wilmington, DE 19809</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> <B>Sub-Advisor</B><BR>
BlackRock Financial Management, Inc.<BR>
New York, NY 10022<BR>
<BR>
<B>Custodian and Accounting Agent</B><BR>
State Street Bank and Trust Company<BR>
Boston, MA 02110<BR>
<BR>
<B>Transfer Agent</B><BR>
Common Shares<BR>
Computershare Trust Company, N.A.<BR>
Canton, MA 02021<BR>
<BR>
<B>Independent Registered Public Accounting Firm</B><BR>
Deloitte &amp; Touche LLP<BR>
Boston, MA 02116<BR>
<BR>
<B>Legal Counsel</B><BR>
Skadden, Arps, Slate, Meagher &amp; Flom LLP<BR>
New York, NY 10036</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> <B>Address of the Funds</B><BR>
100 Bellevue Parkway<BR>
Wilmington, DE 19809</P>


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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_013"></A><FONT STYLE="color: rgb(57,76,135)">Additional
Information</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: rgb(57,76,135)"><B>Dividend
Policy</B></FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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.</P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: rgb(57,76,135)"><B>General
Information</B></FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> 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. On March 15, 2012, the Supreme Court of the State of New York, New York County entered an order consolidating the above-referenced derivative complaint with another derivative complaint, containing almost identical allegations, already pending in that court. The court on March 15, 2012, also granted plaintiffs permission to file an amended complaint. On April 16, 2012, the plaintiffs filed a Consolidated Shareholder Derivative Complaint. 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">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
&#36;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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> 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.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> 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. On June 5, 2012, the plaintiff voluntarily dismissed the complaint without prejudice.</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Additional
Information (continued)</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: rgb(57,76,135)"><B>General
Information (continued)</B></FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> 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 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 May 4, 2012, the court dismissed the Amended Complaint with prejudice. On June 4, 2012, the Plaintiff appealed the Delaware Chancery Courts decision to the Delaware Supreme Court.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> On February 9, 2012, the Board of BPP approved the removal of BPP&#146;s non-fundamental investment policy requiring that swaps may only be entered into with counterparties that are rated either A or A-1 or better by S&amp;P or Fitch, or A or P-1 or better by Moody's. As a result of this investment policy change, BPP may enter into swaps with any counterparties approved by the Manager. Such counterparties may entail a greater degree of credit risk or risk of nonperformance than counterparties rated either A or A-1 or better by S&amp;P or Fitch, or A or P-1 or better by Moody's. The Manager will seek to minimize BPP&#146;s exposure to counterparty risk by entering into swaps with counterparties the Manager believes to be creditworthy at the time they enter into such transactions. To the extent BPP engages in swaps, shareholders of BPP will be dependent on the analytical ability of the Manager to evaluate the credit quality of counterparties to such transactions. In the event of the insolvency of a counterparty, BPP may not be able to recover its assets, in full or at all, during the insolvency process. In addition, counterparties to investments may have no obligation to make markets in such investments and may have the ability to apply essentially discretionary margin and credit requirements. The foregoing investment policy amendment will not alter BPP&#146;s investment objective.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> The Funds do not make available copies of their Statements of Additional Information because the Funds&#146; shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund&#146;s offerings and the information contained in each Fund&#146;s Statement of Additional Information may have become outdated.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> During the period, except as noted above, there were no material changes in the Funds&#146; investment objectives or policies or to the Funds&#146; charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds&#146; portfolios.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> Quarterly performance, semi-annual and annual reports and other information regarding the Funds may be found on BlackRock&#146;s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock&#146;s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock&#146;s website in this report.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Electronic Delivery</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> Electronic copies of most financial reports are available on the Funds&#146; web-sites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds&#146; electronic delivery program.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Householding</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"> The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called &#147;householding&#148; and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.</P>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Additional
Information (continued)</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: rgb(57,76,135)"><B>General
Information (concluded)</B></FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Availability of Quarterly Schedule of Investments</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds&#146; Forms N-Q are available on the SEC&#146;s website at http://www.sec.gov and may also be reviewed and copied at the SEC&#146;s Public Reference Room in Washington, DC. Information on how to access documents on the SEC&#146;s website without charge may be obtained by calling (800) SEC-0330. The Funds&#146; Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Availability of Proxy Voting Policies and Procedures</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC&#146;s website at http://www.sec.gov.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Availability of Proxy Voting Record</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">Information about how the Funds voted proxies relating to securities held in the Funds&#146; portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC&#146;s website at http://www.sec.gov.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>Availability of Fund Updates</B></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the &#147;Closed-end Funds&#148; section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock&#146;s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock&#146;s website in this report.</P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: rgb(57,76,135)"><B>Section
19(a) Notices</B></FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">The reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund&#146;s investment experience during the year and may be subject to changes based on the tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif"><B>April 30, 2012</B></P>
<TABLE BORDER="0" CELLSPACING="0" STYLE="font: 9pt Arial; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-top: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="6" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>Total Cumulative Distributions</B><BR>
<B>for the Fiscal Year-to-Date</B></TD>
     <TD STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="6" STYLE="border-bottom: #000000 1px solid; border-top: #000000 1px solid; text-align: center"><B>% Breakdown of the Total Cumulative</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 COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Net</B><BR>
<B>Investment</B><BR>
<B>Income</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Net Realized</B><BR>
<B>Capital</B><BR>
<B>Gains</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Return of</B><BR>
<B>Capital</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Total Per</B><BR>
<B>Common</B><BR>
<B>Share</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Net</B><BR>
<B>Investment</B><BR>
<B>Income</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Net Realized</B><BR>
<B>Capital</B><BR>
<B>Gains</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Return of</B><BR>
<B>Capital</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Total Per</B><BR>
<B>Common</B><BR>
<B>Share</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 20%">BTZ</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">$0.469000</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">$0.469000</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">100</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">%</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&#151;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">100</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">%</TD></TR></TABLE><BR>
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<P STYLE="text-align: left; font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: rgb(57,76,135)">Additional
Information (concluded)</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><FONT STYLE="color: rgb(57,76,135)"><B>BlackRock
Privacy Principles</B></FONT></P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, &#147;Clients&#148;) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.</P>
<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.</P>
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<P STYLE="text-align: left; font: 10pt Arial, Helvetica, Sans-Serif">This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds 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.</P>
<IMG border=0 src="a48949part2x30x1.jpg">
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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 2 &ndash;&#9;Code of Ethics
&ndash; Not Applicable to this semi-annual report</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 3 &ndash;&#9;Audit Committee
Financial Expert &ndash; Not Applicable to this semi-annual report</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 4 &ndash;&#9;Principal Accountant
Fees and Services &ndash; Not Applicable to this semi-annual report</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 5 &ndash;&#9;Audit Committee
of Listed Registrants &ndash; Not Applicable to this semi-annual report</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 6 &ndash; &#9;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.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 7 &ndash; &#9;Disclosure of
Proxy Voting Policies and Procedures for Closed-End Management Investment Companies &ndash; Not Applicable to this semi-annual
report</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 42pt; text-indent: -42pt">Item 8 &ndash; &#9;Portfolio Managers
of Closed-End Management Investment Companies</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 59.75pt; text-indent: -0.25in"><FONT STYLE="font-size: 11pt">(a)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">Not Applicable to this semi-annual report</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 59.75pt; text-indent: -0.25in"><FONT STYLE="font-size: 11pt">(b)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">As of the date of this filing, there have been no changes in any of the portfolio managers
identified in the most recent annual report on Form N-CSR.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 9 &ndash; &#9;Purchases of
Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers &ndash; Not Applicable</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 10 &ndash; Submission of Matters
to a Vote of Security Holders &ndash; There have been no material changes to these procedures.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 11 &ndash; Controls and Procedures</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt">(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.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt">(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.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 12 &ndash; Exhibits attached
hereto</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt">&#9;(a)(1) &ndash; Code of Ethics
&ndash; Not Applicable to this semi-annual report</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt">&#9;(a)(2) &ndash; Certifications
&ndash; Attached hereto</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt">&#9;(a)(3) &ndash; Not Applicable</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt">&#9;(b) &ndash;&#9;Certifications &ndash;
Attached hereto</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"></P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in">Pursuant to the requirements of the Securities Exchange
Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">BlackRock Floating Rate Income Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 42pt">By:&#9;&nbsp;&nbsp;&nbsp;&nbsp;<U>/s/ John M. Perlowski</U></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 1in">John M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 1in">Chief Executive Officer (principal executive officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 1in">BlackRock Floating Rate Income Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">Date: July 2, 2012</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">Pursuant to the requirements of the Securities Exchange
Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 42pt">By:&#9;&nbsp;&nbsp;&nbsp;&nbsp;<U>/s/ John M. Perlowski</U></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 1in">John M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 1in">Chief Executive Officer (principal executive officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 1in">BlackRock Floating Rate Income Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">Date: July 2, 2012</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 42pt">By:&#9;&nbsp;&nbsp;&nbsp;&nbsp;<U>/s/ Neal J. Andrews</U></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 1in">Neal J. Andrews</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 30.25pt">Chief Financial Officer (principal
financial officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 30.25pt">BlackRock Floating Rate Income
Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">Date: July 2, 2012</P>

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<DESCRIPTION>CERTIFICATIONS
<TEXT>
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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.25pt; text-indent: -0.25pt"><FONT STYLE="vertical-align: baseline"><B>EX-99.
CERT</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt 0.25pt; text-indent: -0.25pt; border-bottom: Black 1pt solid; padding-bottom: 6pt"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">I, John M. Perlowski, Chief Executive
Officer (principal executive officer) of BlackRock Floating Rate Income Trust, certify that:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font-size: 11pt">1.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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-size: 11pt">2.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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-size: 11pt">3.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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-size: 11pt">4.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: -0.25pt"><FONT STYLE="font-size: 11pt">a)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: -0.25pt"><FONT STYLE="font-size: 11pt">b)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: -0.25pt"><FONT STYLE="font-size: 11pt">c)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: -0.25pt"><FONT STYLE="font-size: 11pt">d)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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-size: 11pt">5.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: -0.25pt"><FONT STYLE="font-size: 11pt">a)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: -0.25pt"><FONT STYLE="font-size: 11pt">b)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">Date: July 2, 2012</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0"><U>/s/ John M. Perlowski</U></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">John M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-indent: -0.25pt">Chief Executive Officer (principal executive
officer) of<BR>
BlackRock Floating Rate Income Trust</P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.25pt; text-indent: -0.25pt"><FONT STYLE="vertical-align: baseline"><B>EX-99.
CERT</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt 0.25pt; text-indent: -0.25pt; border-bottom: Black 1pt solid; padding-bottom: 6pt"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">I, Neal J. Andrews, Chief Financial
Officer (principal financial officer) of BlackRock Floating Rate Income Trust, certify that:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in"><FONT STYLE="font-size: 11pt">1.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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-size: 11pt">2.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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-size: 11pt">3.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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-size: 11pt">4.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: 0in"><FONT STYLE="font-size: 11pt">a)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: 0in"><FONT STYLE="font-size: 11pt">b)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: 0in"><FONT STYLE="font-size: 11pt">c)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: 0in"><FONT STYLE="font-size: 11pt">d)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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: 0in"><FONT STYLE="font-size: 11pt">5.</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: 0in"><FONT STYLE="font-size: 11pt">a)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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 0.5in; text-indent: 0in"><FONT STYLE="font-size: 11pt">b)</FONT><FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT><FONT STYLE="font-size: 11pt">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: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">Date: July 2, 2012</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0"><U>/s/ Neal J. Andrews</U></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">Neal J. Andrews</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-indent: -0.25pt">Chief Financial Officer (principal financial
officer) of<BR>
BlackRock Floating Rate Income Trust</P>

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<DOCUMENT>
<TYPE>EX-99.906 CERT
<SEQUENCE>3
<FILENAME>e48953ex99_906cert.htm
<DESCRIPTION>CERTIFICATIONS
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

<P STYLE="margin: 0"></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt"><B>Exhibit 99.1350CERT</B></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Certification Pursuant to Rule 30a-2(b)
under the 1940 Act and<BR>
Section 906 of the Sarbanes-Oxley Act of 2002</B></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">Pursuant to 18 U.S.C. &sect; 1350, the
undersigned officer of BlackRock Floating Rate Income Trust (the &ldquo;registrant&rdquo;), hereby certifies, to the best of his
knowledge, that the registrant's Report on Form N-CSR for the period ended April 30, 2012 (the &ldquo;Report&rdquo;) fully complies
with the requirements of Section 13a of the Securities Exchange Act of 1934, as amended, and that the information contained in
the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt">Date: July 2, 2012</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0"><U>/s/ John M. Perlowski</U></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">John M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">Chief Executive Officer (principal executive officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">BlackRock Floating Rate Income Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">Pursuant to 18 U.S.C. &sect; 1350, the
undersigned officer of BlackRock Floating Rate Income Trust (the &ldquo;registrant&rdquo;), hereby certifies, to the best of his
knowledge, that the registrant's Report on Form N-CSR for the period ended April 30, 2012 (the &ldquo;Report&rdquo;) fully complies
with the requirements of Section 13a of the Securities Exchange Act of 1934, as amended, and that the information contained in
the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt">Date: July 2, 2012</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0"><U>/s/ Neal J. Andrews</U></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">Neal J. Andrews</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">Chief Financial Officer (principal financial officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">BlackRock Floating Rate Income Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt">This certification is being furnished pursuant to Rule 30a-2(b)
under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR
with the Securities and Exchange Commission<B>.</B></P>

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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
