<SEC-DOCUMENT>0001193125-15-387262.txt : 20151125
<SEC-HEADER>0001193125-15-387262.hdr.sgml : 20151125
<ACCEPTANCE-DATETIME>20151124174807
ACCESSION NUMBER:		0001193125-15-387262
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20150930
FILED AS OF DATE:		20151125
DATE AS OF CHANGE:		20151124
EFFECTIVENESS DATE:		20151125

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PIMCO Dynamic Income Fund
		CENTRAL INDEX KEY:			0001510599
		IRS NUMBER:				274580758
		STATE OF INCORPORATION:			MA
		FISCAL YEAR END:			0331

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-22673
		FILM NUMBER:		151253768

	BUSINESS ADDRESS:	
		STREET 1:		1633 BROADWAY
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10019
		BUSINESS PHONE:		212-739-4000

	MAIL ADDRESS:	
		STREET 1:		1633 BROADWAY
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10019
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>d45322dnq.htm
<DESCRIPTION>PIMCO DYNAMIC INCOME FUND
<TEXT>
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<TITLE>PIMCO Dynamic Income Fund</TITLE>
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 <P STYLE="line-height:1.0pt;margin-top:0pt;margin-bottom:0pt;border-bottom:1px solid #000000">&nbsp;</P>
<P STYLE="line-height:3.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1px solid #000000">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:18pt; font-family:Times New Roman" ALIGN="center"><B>UNITED STATES </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:18pt; font-family:Times New Roman" ALIGN="center"><B>SECURITIES AND EXCHANGE COMMISSION </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>Washington, D.C. 20549 </B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:18pt; font-family:Times New Roman" ALIGN="center"><B>FORM N-Q
</B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center> <P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B>MANAGEMENT INVESTMENT COMPANY </B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>
<TD WIDTH="51%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="48%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"><B>Investment Company Act File Number:</B></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><B>811-22673</B></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
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<TD VALIGN="top"><B>Registrant Name:</B></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><B>PIMCO Dynamic Income Fund</B></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Address of Principal Executive Offices:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">1633 Broadway</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">New York, NY 10019</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Name and Address of Agent for Service:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">William G. Galipeau</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">650 Newport Center Drive</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Newport Beach, CA 92660</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Registrant&#146;s telephone number, including area code:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">(844) 337-4626</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Date of Fiscal Year End:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">June 30</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Date of Reporting Period:</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">September 30, 2015</TD></TR>
</TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>Item&nbsp;1. Schedule of Investments </B></P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Consolidated Schedule of Investments </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>PIMCO Dynamic Income Fund </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">September 30, 2015 (Unaudited) </P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="85%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD WIDTH="87%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>

<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">PRINCIPAL<BR>AMOUNT<BR>(000s)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">MARKET<BR>VALUE<BR>(000s)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>INVESTMENTS IN SECURITIES 183.0%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>BANK LOAN OBLIGATIONS 1.1%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Energy Future Intermediate Holding Co. LLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.250% due 06/19/2016</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">14,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">14,190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>OGX</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">TBD% - 13.000% due 04/10/2049</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">646</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">755</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Bank Loan Obligations<BR>(Cost $14,737)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">14,945</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>CORPORATE BONDS&nbsp;&amp; NOTES 23.4%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>BANKING&nbsp;&amp; FINANCE 12.3%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>AGFC Capital Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 01/15/2067 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Banco Continental SAECA</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.875% due 10/15/2017 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Banco do Brasil S.A.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3.875% due 10/10/2022 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,523</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>BNP Paribas S.A.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.375% due 08/19/2025 (e)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Cantor Fitzgerald LP</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.875% due 10/15/2019 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,567</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Communications Sales&nbsp;&amp; Leasing, Inc.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.250% due 10/15/2023 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Credit Suisse AG</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.500% due 08/08/2023 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">864</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Eksportfinans ASA</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 05/25/2016 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,737</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 06/26/2017 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,004</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Exeter Finance Corp.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">9.750% due 05/20/2019</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Jefferies LoanCore LLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.875% due 06/01/2020 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>KGH Intermediate Holdco LLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.500% due 08/08/2019 (f)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">17,648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,951</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>National Bank of Greece S.A.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3.875% due 10/07/2016</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Pinnacol Assurance</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.625% due 06/25/2034 (f)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Programa Cedulas TDA Fondo de Titulizacion de Activos</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.044% due 04/08/2016 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,004</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Rabobank Group</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.875% due 03/19/2020 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,403</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Royal Bank of Scotland Group PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.500% due 08/10/2020 (e)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.000% due 08/10/2025 (e)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Royal Bank of Scotland PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.934% due 04/09/2018 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;7,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,842</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Sberbank of Russia Via SB Capital S.A.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3.352% due 11/15/2019 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,953</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.125% due 02/07/2022 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.125% due 02/07/2022</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">408</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Springleaf Finance Corp.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.500% due 09/15/2017 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,392</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>TIG FinCo PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.500% due 03/02/2020</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;997</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.750% due 04/02/2020 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Toll Road Investors Partnership LP</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.000% due 02/15/2045 (d)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">35,561</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,379</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Vnesheconombank Via VEB Finance PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.902% due 07/09/2020 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,822</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">168,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>INDUSTRIALS 6.1%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Alliance Oil Co. Ltd.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">10.000% due 03/11/2019</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Buffalo Thunder Development Authority</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.000% due 11/15/2029 (f)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,488</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">11.000% due 12/09/2022</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Caesars Entertainment Operating Co., Inc.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">9.000% due 02/15/2020 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">18,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,463</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Chesapeake Energy Corp.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3.539% due 04/15/2019</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Desarrolladora Homex S.A.B. de C.V.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">9.750% due 03/25/2020 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">325</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="85%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD WIDTH="88%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Enterprise Inns PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.500% due 12/06/2018 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;1,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,764</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Intrepid Aviation Group Holdings LLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.875% due 02/15/2019 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,683</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Millar Western Forest Products Ltd.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.500% due 04/01/2021 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,832</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Numericable-SFR S.A.S.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 05/15/2022 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,643</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>OGX Austria GmbH</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.500% due 06/01/2018 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Petroleos de Venezuela S.A.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 04/12/2037</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Reynolds Group Issuer, Inc.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.875% due 08/15/2019 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Rockies Express Pipeline LLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.875% due 04/15/2040 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,744</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,618</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Spirit Issuer PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.472% due 12/28/2034 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;12,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">18,701</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>UCP, Inc.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.500% due 10/21/2017</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Unique Pub Finance Co. PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.542% due 03/30/2021</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;5,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Urbi Desarrollos Urbanos S.A.B. de C.V.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">9.750% due 02/03/2022 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">226</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">84,387</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>UTILITIES 5.0%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Frontier Communications Corp.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.875% due 09/15/2020</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,030</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">10.500% due 09/15/2022</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">11.000% due 09/15/2025</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,690</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Gazprom Neft OAO Via GPN Capital S.A.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.375% due 09/19/2022 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,282</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 11/27/2023 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">40,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">37,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Petrobras Global Finance BV</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.875% due 03/17/2020 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,860</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.375% due 01/27/2021 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,569</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.250% due 12/14/2026</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;1,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,452</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.625% due 01/16/2034</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">664</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.875% due 03/15/2019 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,391</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">68,867</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Corporate Bonds&nbsp;&amp; Notes<BR>(Cost $346,289)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">321,673</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>MUNICIPAL BONDS&nbsp;&amp; NOTES 0.1%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>ILLINOIS 0.1%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Chicago, Illinois General Obligation Bonds, Series 2015</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.375% due 01/01/2033</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.750% due 01/01/2042</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">762</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Municipal Bonds&nbsp;&amp; Notes<BR>(Cost $1,169)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,202</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>U.S. GOVERNMENT AGENCIES 2.1%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Fannie Mae</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.726% due 07/25/2041 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,840</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.876% due 10/25/2040 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,429</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,983</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.156% due 12/25/2037 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">491</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">79</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.246% due 03/25/2037 - 04/25/2037 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">33,164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.306% due 02/25/2037 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">354</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">59</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.326% due 09/25/2037 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,253</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">282</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.456% due 11/25/2036 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">283</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.526% due 06/25/2037 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">149</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.556% due 10/25/2035 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">693</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.786% due 03/25/2038 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,364</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">705</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.806% due 02/25/2038 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,179</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.906% due 06/25/2023 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">11.939% due 01/25/2041 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,985</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,809</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Freddie Mac</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.872% due 10/25/2020 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">95,255</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,997</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.203% due 05/15/2037 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">396</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">59</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.263% due 07/15/2036 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.373% due 09/15/2036 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">285</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.493% due 04/15/2036 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">503</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.573% due 09/15/2036 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,744</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">535</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">10.944% due 03/25/2025</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,882</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">13.959% due 09/15/2041</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">602</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">16.359% due 09/15/2034</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">373</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total U.S. Government Agencies<BR>(Cost $31,619)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">29,462</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="font-size:18pt; margin-top:0pt; margin-bottom:0pt">&nbsp;</P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="85%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD WIDTH="87%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="Arial Narrow; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="Arial Narrow; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>U.S. TREASURY OBLIGATIONS 0.4%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>U.S. Treasury Floating Rate Notes</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.092% due 07/31/2017 (h)(j)(l)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total U.S. Treasury Obligations<BR>(Cost $5,799)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,795</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>MORTGAGE-BACKED SECURITIES 99.5%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Alba PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.848% due 12/15/2038</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;11,245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">14,777</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>American Home Mortgage Assets Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.484% due 08/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,636</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,656</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.734% due 11/25/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,404</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,011</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.250% due 06/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,346</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>American Home Mortgage Investment Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.494% due 09/25/2045 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.094% due 02/25/2044</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,739</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>BAMLL Re-REMIC Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.383% due 12/15/2016</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Banc of America Alternative Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.594% due 05/25/2035 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,011</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 06/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">579</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">460</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 06/25/2046</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Banc of America Funding Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.000% due 06/26/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,469</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,748</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.000% due 07/26/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.402% due 08/25/2047 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.426% due 04/20/2047 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">26,923</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">21,203</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.666% due 02/20/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,612</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,379</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.651% due 03/20/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.766% due 01/25/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">619</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.774% due 01/20/2047 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">366</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Banc of America Mortgage Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.497% due 10/20/2046 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.585% due 01/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Banc of America Re-REMIC Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.675% due 02/17/2051 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">38,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">40,094</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Bancaja Fondo de Titulizacion de Activos</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.091% due 10/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;3,008</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,212</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>BCAP LLC Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.184% due 07/26/2045</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,018</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.285% due 07/26/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,940</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.408% due 11/26/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.674% due 03/26/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,610</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.703% due 02/26/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,584</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.723% due 05/26/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,422</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.787% due 04/26/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">24,947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">17,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3.188% due 10/26/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,052</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 12/26/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.521% due 06/26/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 08/26/2037</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,349</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Bear Stearns Adjustable Rate Mortgage Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.777% due 06/25/2047 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,551</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,885</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Bear Stearns ALT-A Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.394% due 02/25/2034 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,173</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.851% due 09/25/2035 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,703</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>BRAD Resecuritization Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.178% due 03/12/2021</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">28,979</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.550% due 03/12/2021</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,416</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,394</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Celtic Residential Irish Mortgage Securitisation PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.137% due 11/13/2047 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;25,510</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">26,598</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.163% due 03/18/2049</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,049</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,171</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.222% due 04/10/2048</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,524</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.224% due 12/14/2048</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,067</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Chase Mortgage Finance Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.622% due 03/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,151</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,348</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.564% due 01/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">18,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,606</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Citigroup Mortgage Loan Trust, Inc.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.510% due 03/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.749% due 10/25/2035 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,279</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,265</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.905% due 09/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,098</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,255</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Countrywide Alternative Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.384% due 09/25/2046 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">19,940</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,742</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.777% due 12/25/2035 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.924% due 11/25/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">23,435</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.622% due 12/25/2035 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,080</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.898% due 06/25/2047</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">341</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 02/25/2020</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">381</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 07/25/2035 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,920</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 11/25/2035 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,092</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 12/25/2035 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,818</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 01/25/2036 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">247</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="85%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD WIDTH="87%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="Arial Narrow; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="Arial Narrow; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 04/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,435</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.750% due 01/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">323</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.750% due 01/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,743</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.750% due 04/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,758</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 06/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">634</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">584</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 11/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">639</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 12/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">303</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 01/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,856</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 02/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,168</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 04/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,068</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,703</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 05/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 07/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,252</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,356</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.956% due 07/25/2036 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,522</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">37.837% due 05/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,758</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,677</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Countrywide Home Loan Mortgage Pass-Through Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.534% due 03/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,496</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,806</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.794% due 03/25/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">253</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.000% due 11/25/2035 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">93</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">82</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.062% due 06/25/2047 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,585</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 12/25/2034</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">207</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 11/25/2035 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">113</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 07/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">456</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">416</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 08/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,383</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 08/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 01/25/2038 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">317</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Credit Suisse Commercial Mortgage Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.650% due 02/15/2039 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,040</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.500% due 07/26/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Credit Suisse Mortgage Capital Certificates</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.310% due 07/26/2049</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.916% due 04/26/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,326</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">22,466</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3.927% due 02/27/2047 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">70,115</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">46,095</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.472% due 07/26/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,458</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,492</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.690% due 04/16/2049 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,443</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.000% due 08/26/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">19,380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,334</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.000% due 08/27/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,267</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Credit Suisse Mortgage Capital Mortgage-Backed Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.896% due 04/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,976</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Debussy PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.930% due 07/12/2025 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;18,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,802</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.250% due 07/12/2025</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Deutsche ALT-A Securities, Inc.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 10/25/2021 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,401</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Diversity Funding Ltd.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.461% due 02/10/2046</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;3,440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.811% due 02/10/2046</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,607</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.311% due 02/10/2046</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,193</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">963</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.811% due 02/10/2046</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">309</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.061% due 02/10/2046</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">702</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">82</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.561% due 02/10/2046 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.658% due 02/10/2046 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">247</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Emerald Mortgages PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.136% due 07/15/2048</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;27,261</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">28,973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>First Horizon Alternative Mortgage Securities Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.260% due 08/25/2035 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.906% due 11/25/2036 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,186</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>First Horizon Mortgage Pass-Through Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 08/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">710</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>GreenPoint Mortgage Funding Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.394% due 12/25/2046 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,802</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,968</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Grifonas Finance PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.319% due 08/28/2039</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;9,807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,817</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>GSR Mortgage Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.927% due 11/25/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">318</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.500% due 08/25/2036 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,059</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>HarborView Mortgage Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.456% due 03/19/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">24,293</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">17,714</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.466% due 01/19/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,032</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.866% due 06/20/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">14,691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.116% due 06/20/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,343</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Impac CMB Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.914% due 10/25/2034</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">432</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Impac Secured Assets Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.304% due 05/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>IndyMac Mortgage Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.394% due 11/25/2046 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,764</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,255</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.444% due 02/25/2037</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,961</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.494% due 07/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">865</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">679</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.864% due 06/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,585</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,664</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.981% due 02/25/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">606</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.739% due 03/25/2037</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">74</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>JPMorgan Alternative Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.394% due 06/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">46,266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3.064% due 11/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.960% due 12/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,764</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.310% due 08/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,985</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="85%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD WIDTH="87%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>JPMorgan Chase Commercial Mortgage Securities Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.923% due 06/15/2045 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">60,568</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>JPMorgan Mortgage Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.583% due 06/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.875% due 04/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.555% due 10/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,777</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>KGS Alpha SBA Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.048% due 04/25/2038 (a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,389</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Lavender Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 09/26/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,960</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.999% due 11/26/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,095</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>LB Commercial Mortgage Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.096% due 07/15/2044 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,913</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,631</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>LB-UBS Commercial Mortgage Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.739% due 02/15/2040 (a)(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">209,730</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.452% due 09/15/2039 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,751</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,007</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Lehman Mortgage Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 11/25/2035 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">123</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 08/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,662</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 09/25/2036 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">940</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.500% due 09/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,042</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.250% due 09/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">37,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">20,458</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Lehman XS Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.474% due 07/25/2037</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,566</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,072</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.694% due 07/25/2047</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>MASTR Adjustable Rate Mortgages Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.394% due 05/25/2047 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">28,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">23,412</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.534% due 05/25/2047 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,334</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,485</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>MASTR Alternative Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.544% due 03/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">24,850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,007</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.594% due 03/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">32,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,053</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Morgan Stanley Re-REMIC Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.573% due 07/26/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">26,634</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">20,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.617% due 01/26/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,082</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,854</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.617% due 02/26/2037</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,285</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.779% due 09/26/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,998</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 04/26/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,969</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,061</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Newgate Funding PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.788% due 12/15/2050</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;2,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,719</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.212% due 12/15/2050</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;2,485</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.462% due 12/15/2050</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,601</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.838% due 12/15/2050</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;3,751</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>NovaStar Mortgage Funding Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.384% due 09/25/2046</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">869</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">748</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>RBSSP Resecuritization Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.246% due 07/26/2045 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">20,150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">17,136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.752% due 05/26/2037</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.825% due 02/26/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,029</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.282% due 11/21/2035 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,780</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.400% due 11/26/2035 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">29,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">20,182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 03/26/2036 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Residential Accredit Loans, Inc. Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.374% due 07/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,562</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,165</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.384% due 05/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">25,907</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">21,630</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.199% due 01/25/2046 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,152</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.332% due 01/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,356</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,066</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 08/25/2035 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 06/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 06/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">614</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">510</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.000% due 10/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">17,163</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">14,368</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Residential Asset Securitization Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 07/25/2035</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,464</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.250% due 08/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,877</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,943</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Residential Funding Mortgage Securities, Inc. Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.768% due 08/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,655</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.850% due 11/25/2035 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">329</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">317</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 04/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,869</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,605</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Rite Aid Pass-Through Certificates</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.790% due 01/02/2021</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Sequoia Mortgage Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.586% due 07/20/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,774</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,317</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.416% due 10/20/2027</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,063</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Southern Pacific Securities PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.087% due 12/10/2042</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;2,722</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,155</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Structured Adjustable Rate Mortgage Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.694% due 04/25/2047 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,352</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,447</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.207% due 02/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">14,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,567</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.402% due 08/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,953</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Structured Asset Mortgage Investments Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.364% due 03/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,677</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.384% due 07/25/2046 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,063</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">21,529</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>SunTrust Alternative Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.956% due 04/25/2036 ^(a)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,344</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,191</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>TBW Mortgage-Backed Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.500% due 07/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">25,512</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,009</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="85%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD WIDTH="85%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Theatre Hospitals No. 1 PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3.584% due 10/15/2031</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;12,796</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">18,148</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Theatre Hospitals No.&nbsp;2 PLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3.584% due 10/15/2031</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,318</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,960</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>WaMu Mortgage Pass-Through Certificates Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.614% due 06/25/2044</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">371</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">347</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.949% due 06/25/2047 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,503</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.009% due 07/25/2047 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">30,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">25,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.079% due 10/25/2046 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">724</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.199% due 02/25/2046</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">85</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.909% due 07/25/2047 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">843</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.119% due 03/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,839</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,255</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.335% due 02/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">464</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">432</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Washington Mutual Mortgage Pass-Through Certificates Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.434% due 01/25/2047 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.794% due 07/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,894</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 04/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Wells Fargo Alternative Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.723% due 07/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,869</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.750% due 07/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">919</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">840</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Wells Fargo Mortgage Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.705% due 04/27/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">28,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">26,120</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Wells Fargo Mortgage-Backed Securities Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 07/25/2036 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">446</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">451</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 09/25/2036 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">881</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 04/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">290</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">286</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 06/25/2037 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">662</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Mortgage-Backed Securities<BR>(Cost $1,162,792)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,369,550</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>ASSET-BACKED SECURITIES 40.5%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Asset-Backed Funding Certificates Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.244% due 03/25/2034</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,853</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Bear Stearns Asset-Backed Securities Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.744% due 06/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,726</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.246% due 10/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,494</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Bombardier Capital Mortgage Securitization Corp.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.440% due 12/15/2029 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Citigroup Mortgage Loan Trust, Inc.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.354% due 12/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">22,883</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.454% due 03/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">35,545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.380% due 03/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,107</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.531% due 05/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">685</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Conseco Finance Securitizations Corp.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.960% due 05/01/2031 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,151</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.970% due 05/01/2032 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,553</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,466</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.200% due 05/01/2031 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,790</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">21,707</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">9.163% due 03/01/2033 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,740</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,733</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Conseco Financial Corp.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.060% due 02/01/2031 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,505</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,755</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.500% due 03/01/2030</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,002</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Countrywide Asset-Backed Certificates</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.324% due 12/25/2036 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">20,672</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">18,357</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.364% due 06/25/2047 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,416</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.394% due 04/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.394% due 06/25/2047 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">36,609</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.454% due 01/25/2046 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,226</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.614% due 06/25/2036 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,936</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.994% due 03/25/2033</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.574% due 12/25/2032</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,065</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">980</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.674% due 02/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.978% due 07/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,062</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,043</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.505% due 04/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,448</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.588% due 08/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Countrywide Asset-Backed Certificates Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.434% due 03/25/2047</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,010</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.994% due 08/25/2047</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">4.910% due 10/25/2046 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,745</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,416</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Countrywide Home Equity Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.657% due 03/25/2034</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,075</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Credit-Based Asset Servicing and Securitization LLC</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.357% due 10/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,527</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>CSAB Mortgage-Backed Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.500% due 05/25/2037 ^(h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,076</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>EMC Mortgage Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.649% due 12/25/2042</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">155</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.669% due 04/25/2042 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,237</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,495</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.444% due 04/25/2042</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,813</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,170</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>First Franklin Mortgage Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.694% due 12/25/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">23,487</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>GMAC Mortgage Corp. Home Equity Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.249% due 12/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,236</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>GSAMP Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">2.069% due 06/25/2034</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,968</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="85%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>IndyMac Home Equity Mortgage Loan Asset-Backed Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.300% due 12/25/2031 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,353</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">445</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Lehman XS Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.170% due 06/24/2046 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,733</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Long Beach Mortgage Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.454% due 08/25/2045 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">42,406</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">32,984</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.244% due 02/25/2034</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">218</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.244% due 06/25/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">21,680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>MASTR Asset-Backed Securities Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.344% due 03/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,564</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.574% due 01/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Mid-State Capital Corp. Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.742% due 10/15/2040</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,928</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Morgan Stanley Home Equity Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.424% due 04/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">37,506</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">21,492</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Oakwood Mortgage Investors, Inc.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">5.920% due 06/15/2031</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,061</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.610% due 06/15/2031</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,811</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.400% due 07/15/2030</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">23,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.405% due 06/15/2031</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,070</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.840% due 11/15/2029 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,839</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,998</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">8.490% due 10/15/2030 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">425</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Option One Mortgage Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.554% due 01/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">20,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,980</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Popular ABS Mortgage Pass-Through Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.444% due 08/25/2035 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,663</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Residential Asset Mortgage Products Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.169% due 04/25/2034 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,559</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Residential Asset Securities Corp. Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.354% due 06/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,270</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,085</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.434% due 08/25/2036 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,522</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Saxon Asset Securities Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.644% due 11/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,625</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Sorin Real Estate CDO Ltd.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.824% due 10/28/2046</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Soundview Home Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.474% due 06/25/2037 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,962</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.694% due 03/25/2036</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">16,905</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,379</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>South Coast Funding Ltd.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.544% due 01/06/2041</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,134</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,553</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.544% due 01/06/2041 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">169,592</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">51,302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Structured Asset Securities Corp.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.194% due 05/25/2032 ^</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,278</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,825</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Tropic CDO Ltd.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1.169% due 07/15/2034</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">22,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">13,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Vanderbilt Acquisition Loan Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">7.330% due 05/07/2032 (h)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,317</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Asset-Backed Securities<BR>(Cost $515,944)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">556,768</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>SOVEREIGN ISSUES 4.3%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Brazil Notas do Tesouro Nacional</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">10.000% due 01/01/2021</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">BRL</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;13,618</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">10.000% due 01/01/2025</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">23,699</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,382</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Brazil Notas do Tesouro Nacional Inflation Linked Bond</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 05/15/2045</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,570</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,831</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.000% due 08/15/2050</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">238,208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">50,603</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Sovereign Issues<BR>(Cost $107,164)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">59,600</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">SHARES</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>COMMON STOCKS 0.7%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>FINANCIALS 0.1%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>EME Reorganization Trust</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,207,199</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>TIG Finco PLC (f)</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">662,196</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>UTILITIES 0.6%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>PPL Corp.</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">245,814</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,085</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Talen Energy Corp. (b)</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">30,703</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">310</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,395</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Common Stocks<BR>(Cost $9,782)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">9,092</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>PREFERRED SECURITIES 0.3%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>BANKING&nbsp;&amp; FINANCE 0.3%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>AgriBank FCB</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">6.875% due 01/01/2024 (e)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">36,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Preferred Securities<BR>(Cost $3,600)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,789</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="font-size:18pt; margin-top:0pt; margin-bottom:0pt">&nbsp;</P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="85%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD WIDTH="85%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; font-size:8pt"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>SHORT-TERM INSTRUMENTS 10.6%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>REPURCHASE AGREEMENTS (g)&nbsp;9.7%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">133,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">PRINCIPAL<BR>AMOUNT<BR>(000s)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>SHORT-TERM NOTES 0.2%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Federal Home Loan Bank</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.244% due 01/26/2016</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,300</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,299</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>U.S. TREASURY BILLS 0.7%</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">0.130% due 01/14/2016 - 02/18/2016 (c)(l)</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Short-Term Instruments<BR>(Cost $146,572)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">146,577</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Total Investments in Securities<BR>(Cost $2,345,467)</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,518,453</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>Total Investments 183.0%<BR>(Cost $2,345,467)</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>2,518,453</B></FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>Financial Derivative Instruments (i)(k) (0.1%)<BR>(Cost or Premiums, net $(27,230))</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;</B></FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>(1,801</B></FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>Other Assets and Liabilities, net (82.9%)</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;</B></FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>(1,140,796</B></FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>Net Assets 100.0%</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>1,375,856</B></FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Notes to Consolidated Schedule of Investments (amounts in thousands*): </B></P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>*</B></TD>
<TD ALIGN="left" VALIGN="top"><B>A zero balance may reflect actual amounts rounding to less than one thousand. </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>^</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Security is in default. </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(a)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Interest only security. </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(b)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Security did not produce income within the last twelve months. </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(c)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Coupon represents&nbsp;a weighted average&nbsp;yield to maturity. </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(d)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Zero coupon bond. </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(e)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Perpetual maturity; date shown, if applicable, represents next contractual call date. </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(f)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Restricted Securities: </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt">


<TR>
<TD WIDTH="59%"></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Issuer Description</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Acquisition&nbsp;Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Market&nbsp;Value<BR>as&nbsp;Percentage<BR>of Net Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Buffalo Thunder Development Authority 0.000% due 11/15/2029</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/08/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.00%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">KGH Intermediate Holdco LLC 8.500% due 08/08/2019</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/07/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">17,362</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,951</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.16&nbsp;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Pinnacol Assurance 8.625% due 06/25/2034</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/23/2014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.78&nbsp;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">TIG Finco PLC</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/02/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">982</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.05&nbsp;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD COLSPAN="4" VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;28,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;27,401</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.99%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Borrowings and Other Financing Transactions </B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(g)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Repurchase Agreements: </B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="42%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Lending<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Settlement<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Principal<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Collateralized By</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Collateral<BR>Received,<BR>at Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Repurchase<BR>Agreements,<BR>at Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Repurchase<BR>Agreement<BR>Proceeds<BR>to
be<BR>Received<SUP STYLE="font-size:85%; vertical-align:top">&nbsp;(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">IND</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">0.220%</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/01/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">U.S. Treasury Notes 1.500% due 05/31/2020</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,615</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">MBC</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">0.160</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/29/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">30,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">U.S. Treasury Inflation Protected Securities 0.125%&nbsp;due 04/15/2017</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(31,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">30,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">30,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">0.190</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/07/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">43,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">U.S. Treasury Notes 1.750% due 04/30/2022</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(45,349</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">43,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">43,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">SCX</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">0.270</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/01/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">53,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">U.S. Treasury Bonds 2.750% due 08/15/2042</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(48,982</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">53,500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">53,501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">U.S. Treasury Notes 3.000% due 08/31/2016</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,657</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">SSB</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">0.000</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/01/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">U.S. Treasury Notes 4.875% due 08/15/2016</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="17"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow; "><B>Total Repurchase Agreements</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;(137,632</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>133,876</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>133,877</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><I></I><SUP STYLE="font-size:85%; vertical-align:top">(1)</SUP></TD>
<TD ALIGN="left" VALIGN="top"><SUP STYLE="font-size:85%; vertical-align:top"></SUP><I>Includes accrued interest. </I></TD></TR></TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Reverse Repurchase Agreements: </B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Borrowing<BR>Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Borrowing<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Amount<BR>Borrowed<SUP STYLE="font-size:85%; vertical-align:top">&nbsp;(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Payable&nbsp;for<BR>Reverse<BR>Repurchase<BR>Agreements</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">BCY</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">%&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/20/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,041</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/18/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/18/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,581</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,587</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,204</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.643</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(17,072</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(17,127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.644</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(25,328</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(25,410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/07/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/09/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,617</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.677</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,217</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,225</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.679</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/02/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/02/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,167</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.682</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/08/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/08/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,688</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(4,356</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(4,377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.943</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(12,656</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(12,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">03/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,387</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,403</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.131</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">03/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(19,192</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(19,199</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,889</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,906</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.169</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/26/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(9,386</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(9,389</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/20/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(24,313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(24,373</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">BOS</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.677</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.757</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/17/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/19/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(13,825</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(13,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/20/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/20/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(23,549</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(23,705</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">BPG</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.781</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">03/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">03/22/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(29,414</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(29,426</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.792</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/12/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,836</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,885</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.342</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/01/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/01/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(37,844</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(37,918</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">BPS</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;(825</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(922</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.350</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(9,707</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.450</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(7,991</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,937</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.650</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(2,584</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(2,891</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">BRC</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/15/2017</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;(1,064</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,607</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/07/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/07/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,580</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,595</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/14/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/14/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(11,624</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(11,648</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">DBL</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.891</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/18/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/18/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;(14,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(22,053</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/09/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(26,951</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(26,991</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">FOB</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,856</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.982</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(993</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(994</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.984</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/03/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/03/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,101</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.986</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/14/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/14/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(7,219</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(7,226</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">GSC</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.603</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/13/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(21,001</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(21,020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">JML</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/12/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;(7,661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,562</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/01/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/05/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/04/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(2,840</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(2,842</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/09/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(4,139</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(4,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/05/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/03/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,532</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,532</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(17,596</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(17,606</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.050</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/19/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,551</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,552</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">JPS</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,281</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">MSC</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(11,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(11,226</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,869</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.079</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(53,140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(53,254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.084</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/08/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/08/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(77,853</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(77,957</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">RDR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.520</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/14/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(10,499</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(10,501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(4,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(4,155</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.920</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/28/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">01/28/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,853</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.950</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">02/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,569</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,578</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,804</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,815</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/06/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(14,954</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(15,041</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.416</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/21/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(18,863</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(18,962</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/28/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,037</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,042</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/25/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">02/25/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(2,581</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(2,585</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/14/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(35,692</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(35,820</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.810</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/28/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/27/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(10,764</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(10,799</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">RTA</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.860</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/12/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/12/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,572</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,577</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">03/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,716</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,717</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/07/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/07/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(32,567</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(32,825</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.619</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/13/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/13/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,672</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,739</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/14/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/16/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(44,710</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(44,999</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/12/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/12/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(42,099</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(42,375</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.678</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/01/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/31/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,496</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,544</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/10/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(11,247</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(11,306</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/21/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,705</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,724</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/23/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(9,232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(9,235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">SBI</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.153</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/22/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(14,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(14,076</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/04/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/04/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,943</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(8,978</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">SOG</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,587</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,589</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/20/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(962</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(962</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.790</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/30/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(15,376</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(15,388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.790</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/29/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(2,440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(2,441</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">04/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(16,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(16,807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/08/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/09/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(5,237</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/08/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/08/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(16,438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(16,529</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/27/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(21,387</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(21,518</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.801</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/05/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">02/05/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(21,397</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(21,458</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.824</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/17/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">02/17/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(12,362</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(12,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/15/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(26,472</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(26,496</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">UBS</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,862</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(1,865</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">08/03/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/03/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(865</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(866</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.820</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/07/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;(17,386</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(19,438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/14/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/15/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,817</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,820</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/18/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/18/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,753</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(4,861</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(4,862</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.880</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/17/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;(4,635</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(7,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/16/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(10,453</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(15,852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.543</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">07/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/23/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,756</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,767</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.790</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">03/24/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">01/04/2016</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(2,974</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,002</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Total Reverse Repurchase Agreements</B></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>&nbsp;&nbsp;</B></P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;(1,128,870</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><I></I><SUP STYLE="font-size:85%; vertical-align:top">(2)</SUP></TD>
<TD ALIGN="left" VALIGN="top"><SUP STYLE="font-size:85%; vertical-align:top"></SUP><I>As of September 30, 2015, there were no open sale-buyback transactions. The average amount of borrowings outstanding during the period ended September 30, 2015 was
$1,021,413 at a weighted average interest rate of 1.540%. </I></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(h)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Securities with an aggregate market value of $1,480,655 and cash of $4,997 have been pledged as collateral under the terms of master agreements as of September 30, 2015. </B></TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(i)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Financial Derivative Instruments: Exchange-Traded or Centrally Cleared </B></TD></TR></TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Swap Agreements: </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Interest Rate Swaps </B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="37%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8pt">
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1.00pt solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Variation&nbsp;Margin</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom" NOWRAP STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:8.5pt; font-family:Arial Narrow"><B>Pay/Receive</B></P>
<P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:8.5pt; font-family:Arial Narrow"><B>Floating&nbsp;Rate</B></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Floating Rate Index</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Market<BR>Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Pay</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3-Month USD-LIBOR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">%&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/16/2019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;240,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,557</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(145</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Pay</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3-Month USD-LIBOR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/16/2020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">114,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,842</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(88</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Receive</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3-Month USD-LIBOR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/20/2022</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">134,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(21,484</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">124</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Pay</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3-Month USD-LIBOR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/16/2025</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">127,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4,977</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,670</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Receive</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3-Month USD-LIBOR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">03/20/2043</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">102,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(4,755</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(6,803</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">320</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Receive</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3-Month USD-LIBOR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/18/2044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,303</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">44</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Receive</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3-Month USD-LIBOR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3.500</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/17/2044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">44,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(9,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(7,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">153</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Receive</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3-Month USD-LIBOR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3.250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">06/17/2045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">45,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(7,490</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3,759</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">152</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Receive</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">3-Month USD-LIBOR</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2.750</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/16/2045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(201</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(32,455</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(998</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">805</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="3"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow; "><B>Total Swap Agreements</B></P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;(32,455</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>(998</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>805</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>(360</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(j)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Securities with an aggregate market value of $2,134 and cash of $22,520 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September&nbsp;30, 2015.
</B></TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(k)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Financial Derivative Instruments: Over the Counter </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Forward Foreign Currency Contracts: </B></P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt">


<TR>
<TD WIDTH="34%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="13%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="6" NOWRAP ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Unrealized&nbsp;Appreciation/(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Settlement<BR>Month</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Currency to<BR>be&nbsp;Delivered</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Currency to<BR>be&nbsp;Received</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">BOA</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">68,157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;44,831</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(338</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;44,831</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;68,146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">339</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">DUB</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">BRL</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;273,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">68,895</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">68,369</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">BRL</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;273,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">704</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(32</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">BRL</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;269,431</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;66,576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(641</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">GLM</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;106</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">119</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">HUS</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">64,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">73,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,429</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">JPM</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">BRL</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;273,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">76,028</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">6,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;6,287</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">7,066</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">68,895</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">BRL</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;273,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">SCX</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;44,831</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;69,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">UAG</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">972</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">80,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;71,665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(93</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11/2015</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;71,665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;80,209</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="8"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Total Forward Foreign Currency Contracts</B></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>&nbsp;&nbsp;</B></P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;11,531</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;(1,253</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Swap Agreements: </B></P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Credit
Default Swaps on Corporate and Sovereign Issues - Sell Protection<SUP STYLE="font-size:85%; vertical-align:top">&nbsp;(1)</SUP> </B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR>
<TD WIDTH="8%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="27%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="8%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8pt">
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="6" NOWRAP ALIGN="center" STYLE="border-bottom:1.00pt solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Swap&nbsp;Agreements,&nbsp;at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Reference Entity</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:8.5pt; font-family:Arial Narrow" ALIGN="center"><B>Fixed&nbsp;Deal</B></P>
<P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:8.5pt; font-family:Arial Narrow" ALIGN="center"><B>Receive&nbsp;Rate</B></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Implied&nbsp;Credit<BR>Spread
at<BR>September&nbsp;30,&nbsp;2015<SUP STYLE="font-size:85%; vertical-align:top">&nbsp;(2)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Notional<BR>Amount<SUP STYLE="font-size:85%; vertical-align:top">&nbsp;(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Unrealized<BR>Appreciation/<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">GST</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Chesapeake Energy Corp.</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">%&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/20/2020</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12.616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">%&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">HUS</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Petrobras Global Finance BV</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">09/20/2020</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10.372</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(80</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">JPM</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Russia Government International Bond</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1.000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12/20/2020</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3.451</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(136</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD COLSPAN="6" VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;(182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;(58</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;(240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Credit Default Swaps on Credit Indices - Sell Protection<SUP STYLE="font-size:85%; vertical-align:top">&nbsp;(1)</SUP>
</B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt" ALIGN="center">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="43%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8pt">
<TD COLSPAN="22" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="6" NOWRAP ALIGN="center" STYLE="border-bottom:1.00pt solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Swap&nbsp;Agreements,&nbsp;at&nbsp;Value<SUP STYLE="font-size:85%; vertical-align:top">&nbsp;
(4)</SUP></B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Index/Tranches</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Fixed Deal<BR>Receive&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Notional<BR>Amount<SUP STYLE="font-size:85%; vertical-align:top">&nbsp;(3)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Unrealized<BR>Appreciation</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">FBF</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">ABX.HE.AA.6-2 Index</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.170%</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">05/25/2046</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">30,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(27,034</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">15,014</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(12,020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><I></I><SUP STYLE="font-size:85%; vertical-align:top">(1)</SUP></TD>
<TD ALIGN="left" VALIGN="top"><SUP STYLE="font-size:85%; vertical-align:top"></SUP><I>If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i)&nbsp;pay to
the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii)&nbsp;pay a net settlement amount in the form of cash or
securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. </I></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><I></I><SUP STYLE="font-size:85%; vertical-align:top">(2)</SUP></TD>
<TD ALIGN="left" VALIGN="top"><SUP STYLE="font-size:85%; vertical-align:top"></SUP><I>Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues
as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of
buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity&#146;s credit soundness and a greater likelihood or risk of default
or other credit event occurring as defined under the terms of the agreement. </I></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><I></I><SUP STYLE="font-size:85%; vertical-align:top">(3)</SUP></TD>
<TD ALIGN="left" VALIGN="top"><SUP STYLE="font-size:85%; vertical-align:top"></SUP><I>The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs
as defined under the terms of that particular swap agreement. </I></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><I></I><SUP STYLE="font-size:85%; vertical-align:top">(4)</SUP></TD>
<TD ALIGN="left" VALIGN="top"><SUP STYLE="font-size:85%; vertical-align:top"></SUP><I>The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk
and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the
notional amount of the swap, represent a deterioration of the referenced indices&#146; credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. </I></TD></TR></TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Interest Rate Swaps </B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


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<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom">&nbsp;</TD>
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<TD VALIGN="bottom">&nbsp;</TD>
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<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD COLSPAN="2" VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Swap&nbsp;Agreements,&nbsp;at&nbsp;Value</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Counterparty</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Pay/Receive<BR>Floating&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Floating Rate Index</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Fixed&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Maturity<BR>Date</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Premiums<BR>(Received)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Unrealized<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Asset</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Liability</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">GLM</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Pay</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">1-Year BRL-CDI</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11.680</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">%&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">01/04/2021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">BRL</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9,900</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow; "><B>Total Swap Agreements</B></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;(27,230</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;14,706</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;0</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>$</B></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;(12,524</B></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B>)&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.50pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><B>(l)</B></TD>
<TD ALIGN="left" VALIGN="top"><B>Securities with an aggregate market value of $12,377 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of
September&nbsp;30, 2015. </B></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Fair Value Measurements </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>The following is a summary of the fair valuations according to the inputs used as of September 30, 2015 in valuing the Fund&#146;s assets and liabilities:
</B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt">


<TR>
<TD WIDTH="47%"></TD>
<TD VALIGN="bottom"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Level 1</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Fair Value<BR>at&nbsp;09/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Investments in Securities, at Value</B></P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Bank Loan Obligations</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">14,190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">755</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">14,945</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Corporate Bonds &amp; Notes</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Banking &amp; Finance</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">131,989</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">36,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">168,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Industrials</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">73,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">84,387</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Utilities</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">68,867</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">68,867</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Municipal Bonds &amp; Notes</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Illinois</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">U.S. Government Agencies</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">29,462</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">29,462</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">U.S. Treasury Obligations</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5,795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Mortgage-Backed Securities</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">27,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,323,258</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">19,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1,369,550</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Asset-Backed Securities</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">556,768</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">556,768</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Sovereign Issues</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">59,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">59,600</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Common Stocks</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Financials</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">697</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Utilities</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,395</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8,395</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Preferred Securities</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Banking &amp; Finance</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3,789</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Short-Term Instruments</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Repurchase Agreements</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">133,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">133,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Short-Term Notes</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,299</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,299</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">U.S. Treasury Bills</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,402</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,402</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Total Investments</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">35,529</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,415,231</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">67,693</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2,518,453</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Financial Derivative Instruments - Assets</B></P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Exchange-traded or centrally cleared</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">805</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">805</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Over the counter</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,531</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">11,531</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">12,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Financial Derivative Instruments - Liabilities</B></P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Exchange-traded or centrally cleared</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Over the counter</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(13,777</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(13,777</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(14,137</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(14,137</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Totals</P></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;35,529</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;2,413,430</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;67,693</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;2,516,652</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>There were no significant transfers between Levels 1 and 2 during the period ended September 30, 2015. </B></P>
<P STYLE="margin-top:0pt;margin-bottom:0pt;page-break-before:always"></P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>The following is a reconciliation of the fair valuations using significant
unobservable inputs (Level 3) for the Fund during the period ended September 30, 2015: </B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt" ALIGN="center">


<TR>
<TD WIDTH="41%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Beginning<BR>Balance<BR>at&nbsp;06/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Net<BR>Purchases</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Net<BR>Sales</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Accrued<BR>Discounts/<BR>(Premiums)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Realized<BR>Gain/<BR>(Loss)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Net Change
in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)&nbsp;<SUP STYLE="font-size:85%; vertical-align:top">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Transfers<BR>into<BR>Level 3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Transfers<BR>out<BR>of&nbsp;Level&nbsp;3</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Ending<BR>Balance<BR>at&nbsp;09/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Net Change in<BR>Unrealized<BR>Appreciation/<BR>(Depreciation)<BR>on&nbsp;Investments<BR>Held at<BR>09/30/2015&nbsp;<SUP
STYLE="font-size:85%; vertical-align:top">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:8.0pt">
<TD VALIGN="top" COLSPAN="40"><FONT STYLE="font-family:Arial Narrow; "><B>Investments in Securities, at Value</B></FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; "><B>&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.0pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:8pt; font-family:Arial Narrow"><FONT STYLE="font-family:Arial Narrow; ">Bank Loan Obligations</FONT></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">725</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">29</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">755</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">29</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:8.0pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:8pt; font-family:Arial Narrow"><FONT STYLE="font-family:Arial Narrow; ">Corporate Bonds &amp; Notes</FONT></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.0pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:8pt; font-family:Arial Narrow"><FONT STYLE="font-family:Arial Narrow; ">Banking &amp; Finance</FONT></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">36,902</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(384</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">36,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(388</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:8.0pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:8pt; font-family:Arial Narrow"><FONT STYLE="font-family:Arial Narrow; ">Industrials</FONT></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.0pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:8pt; font-family:Arial Narrow"><FONT STYLE="font-family:Arial Narrow; ">Mortgage-Backed Securities</FONT></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">19,218</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">(15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">75</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">19,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:8.0pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:8pt; font-family:Arial Narrow"><FONT STYLE="font-family:Arial Narrow; ">Common Stocks</FONT></P></TD>
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<TR STYLE="font-family:ARIAL; font-size:8.0pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:8pt; font-family:Arial Narrow"><FONT STYLE="font-family:Arial Narrow; ">Financials</FONT></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:8.0pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:8pt; font-family:Arial Narrow"><FONT STYLE="font-family:Arial Narrow; ">Totals</FONT></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;68,153</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;(213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;(267</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;67,693</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;(269</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
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<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
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<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
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<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
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<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
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<TD>&nbsp;</TD>
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<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="font-size:12pt; margin-top:0pt; margin-bottom:0pt">&nbsp;</P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>The following is a summary of significant unobservable inputs used in the fair valuations of assets and
liabilities categorized within Level&nbsp;3 of the fair value hierarchy: </B></P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:10pt">


<TR>
<TD WIDTH="26%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD WIDTH="24%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="13%"></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8.5pt">
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Category and Subcategory</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Ending<BR>Balance<BR>at&nbsp;09/30/2015</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Valuation Technique</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Unobservable&nbsp;Inputs</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #333333"><FONT STYLE="font-family:Arial Narrow; "><B>Input&nbsp;Value(s)<BR>(%&nbsp;Unless&nbsp;Noted&nbsp;Otherwise)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #333333">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>Investments in Securities, at Value</B></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow"><B>&nbsp;&nbsp;</B></P></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Bank Loan Obligations</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">755</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Other Valuation Techniques&nbsp;<SUP STYLE="font-size:85%; vertical-align:top">(2)</SUP></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&#151;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Corporate Bonds &amp; Notes</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Banking &amp; Finance</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">36,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Proxy Pricing</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">Base Price</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><FONT STYLE="white-space:nowrap">100.00&nbsp;-&nbsp;102.67</FONT></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Industrials</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">10,653</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Proxy Pricing</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">Base Price</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">100.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Mortgage-Backed Securities</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">19,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Proxy Pricing</P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">Base Price</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">4.22 - 103.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Common Stocks</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Financials</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" NOWRAP> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Other Valuation Techniques&nbsp;<SUP STYLE="font-size:85%; vertical-align:top">(2)</SUP></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&#151;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&#151;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Arial Narrow">Total</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;67,693</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:2.00pt solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><I></I><SUP STYLE="font-size:85%; vertical-align:top">(1)</SUP>&nbsp;<I></I></TD>
<TD ALIGN="left" VALIGN="top"><I>Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2015 may be due to an investment no longer
held or categorized as Level 3 at period end. </I></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><I></I><SUP STYLE="font-size:85%; vertical-align:top">(2)</SUP></TD>
<TD ALIGN="left" VALIGN="top"><SUP STYLE="font-size:85%; vertical-align:top"></SUP><I>Includes valuation techniques not defined in the Supplementary Notes to Schedule of Investments as securities valued using such techniques are not considered
significant to the Fund. </I></TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>See Accompanying Notes </B></P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Notes to Financial Statements </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>1. BASIS FOR CONSOLIDATION </B></P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">PDILS I LLC, (the
&#147;Subsidiary&#148;), a Delaware limited liability company was formed as a wholly owned subsidiary acting as an investment vehicle for the PIMCO Dynamic Income Fund (the &#147;Fund&#148;) in order to effect certain investments for the Fund
consistent with the Fund&#146;s investment objectives and policies in effect from time to time. PIMCO Dynamic Income Fund&#146;s investment portfolio has been consolidated and includes the portfolio holdings of the PIMCO Dynamic Income Fund and the
Subsidiary. Accordingly, the consolidated financial statements include the accounts of the Fund and the Subsidiary. All inter-company transactions and balances have been eliminated. This structure was established so that certain loans could be held
by a separate legal entity from the Fund. See the table below for details regarding the structure, incorporation and relationship as of the period end of the Subsidiary (amounts in thousands<SUP STYLE="font-size:85%; vertical-align:top"><FONT
STYLE="font-family:Arial Narrow; font-size:6.5pt">&#134;</FONT></SUP>). </P> <P STYLE="font-size:18pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="65%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD></TD>
<TD VALIGN="bottom" WIDTH="15%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; "><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="15%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; "><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="15%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; "><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8pt">
<TD VALIGN="bottom" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Date of<BR>Formation</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Fund Net<BR>Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Subsidiary<BR>Net&nbsp;Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>%&nbsp;of&nbsp;Fund<BR>Net&nbsp;Assets</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">03/07/2013</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B></B>$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; "><B></B>&nbsp;&nbsp;1,375,856</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; "><B></B>&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">0.0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">%&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#134;</TD>
<TD ALIGN="left" VALIGN="top"><I>A zero balance may reflect actual amounts rounding to less than one thousand.</I> </TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>2. INVESTMENT VALUATION
AND FAIR VALUE MEASUREMENTS </B></P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>(a) Investment Valuation Policies </B>The Net Asset Value (&#147;NAV&#148;) of the Fund is determined by dividing the
total value of portfolio investments and other assets attributable to that Fund, less any liabilities, by the total number of shares outstanding of that Fund. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">On each day that the New York Stock Exchange (&#147;NYSE&#148;) is open, Fund shares are ordinarily valued as of the close of regular trading (&#147;NYSE
Close&#148;). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier
that day. The Fund reserves the right to change the time its respective NAV is calculated if the Fund closes earlier, or as permitted by the SEC. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">For
purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales
prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the approved pricing services, quotation reporting systems and other third-party sources (together,
&#147;Pricing Services&#148;). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE
Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by the manager to be the primary exchange. A foreign (non-U.S.) equity
security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded
derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing
Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased
on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures (which are discussed below), are valued at the settlement price
determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services or other pricing sources. With respect to any portion of the Fund&#146;s
assets that are invested in one or more open-end management investment companies (other than exchange-traded funds (&#147;ETFs&#148;)), the Fund&#146;s NAV will be calculated based upon the NAVs of such investments. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">If a foreign (non-U.S.) equity security&#146;s value has materially changed after the close of the security&#146;s primary exchange or principal market but
before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees of the Trust (the &#147;Board&#148;). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open
are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value
or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include
changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S.
securities. Foreign (non-U.S.) exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Trust is not open for business, which may result in the Fund&#146;s portfolio investments being affected when shareholders are
unable to buy or sell shares. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean
of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree will be valued at fair value, which is
intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a)&nbsp;the creditworthiness of the borrower and any intermediate
participants, (b)&nbsp;the terms of the loan, (c)&nbsp;recent prices in the market for similar loans, if any, and (d)&nbsp;recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result,
the value of such investments and, in turn, the NAV of the Fund&#146;s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated
in currencies other than the U.S. dollar may be affected significantly on a day that the Trust is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at
times when you cannot purchase, redeem or exchange shares and the value of such investments will be reflected in the Fund&#146;s next calculated NAV. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or
persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation
methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good
faith by the Valuation Oversight Committee of the Board (&#147;Valuation Oversight Committee&#148;), generally based on recommendations provided by the Manager. Market quotes are considered not readily available in circumstances where there is an
absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (&#147;Broker Quotes&#148;), Pricing Services&#146; prices), including </P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">
where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund&#146;s securities or assets. In addition, market quotes are
considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the
Manager the responsibility for monitoring significant events that may materially affect the values of the Fund&#146;s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of
such significant events. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">When the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its
NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair
valuation may require subjective determinations about the value of a security. While the Fund&#146;s policy is intended to result in a calculation of the Fund&#146;s NAV that fairly reflects security values as of the time of pricing, the Fund cannot
ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a
forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>(b) Fair Value
Hierarchy </B>U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value
hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The
inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows: </P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top">Level 1&#151;Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities. </TD></TR></TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top">Level 2&#151;Significant other observable inputs, which may include, but are 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> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left">&#149;</TD>
<TD WIDTH="1%" VALIGN="top">&nbsp;</TD>
<TD ALIGN="left" VALIGN="top">Level 3&#151;Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons
acting at their direction that are used in determining the fair value of investments. </TD></TR></TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Any assets or liabilities categorized as Level 1 or 2 as
of period end that have been transferred between Levels 1 and 2 since the prior period are due to changes in the valuation method utilized in valuing the investments. Transfers from Level 1 to Level 2 are a result of a change, in the normal course
of business, from the use of an exchange traded price or a trade price on the initial purchase date (Level 1) to valuation methods used by third-party pricing services including valuation adjustments applied to certain securities that are solely
traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE (Level 2). Transfers from Level 2 to Level 1 are a result of exchange traded products for which quoted prices from an
active market were not available (Level 2) and have become available (Level 1). Transfers from Level 1 to Level 3 are a result of a change from the use of an exchange traded price or a trade price on the initial purchase date (Level 1) to the use of
a valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market based data (Level 3). Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and
3 since the prior period due to changes in the valuation method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of valuation methods used by third-party
pricing services (Level 2) to the use of a broker quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the
availability of current and reliable market-based data provided by third-party pricing services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers
between Levels 1 and 2 and transfers in and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">For fair
valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation),
purchases and sales, accrued discounts (premiums), and transfers in and out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of the Fund&#146;s assets and liabilities.
Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the
requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>(c) Valuation Techniques and the Fair Value Hierarchy </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Level 1 and Level 2 trading assets and trading liabilities, at fair value </B>The valuation methods (or &#147;techniques&#148;) and significant inputs used in
determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows: </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues,
bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their
internal pricing models. The Pricing Services&#146; internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets.
Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Fixed income
securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also
normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data,
estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are
categorized as Level 2 of the fair value hierarchy. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures
contracts or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not
applied, they are categorized as Level 1 of the fair value hierarchy. </P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Investments valued (denominated) in currencies other than the U.S. dollar are converted to the U.S. dollar using
exchange rates (currency spot and forward rates) obtained from Pricing Services. As a result, the NAV of the Fund&#146;s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in
markets outside the United States or denominated in currencies other than the U.S.&nbsp;dollar may be affected significantly on a day that the Trust is not open for business. Valuation adjustments may be applied to certain securities that are solely
traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign
security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued
by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Short-term debt instruments (such as commercial paper)
having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of
amortized cost valuation. Prior to July&nbsp;31, 2015, short-term investments having a maturity of 60 days or less and repurchase agreements were generally valued at amortized cost which approximates fair value. Short-term debt instruments having a
remaining maturity of 60 days or less are categorized as Level 2 of the fair value hierarchy. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Equity exchange-traded options and over the counter financial
derivative instruments, such as foreign currency contracts, options contracts, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Other than swap
agreements, which are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services or other pricing sources, these contracts are normally valued on the basis of quotes obtained from a quotation reporting system,
established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by a Pricing Services using a series of techniques,
including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and
exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price
determined by the respective exchange (if available). For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable price levels across complete term structures. These levels along with external
third-party prices are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates
including the overnight index swap rate and London Interbank Offered Rate (&#147;LIBOR&#148;) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>Level 3 trading assets and trading liabilities, at fair value </B>When a fair valuation method is applied by the Manager that uses significant unobservable
inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in
determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows: </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Investments in privately
held investment funds with significant restrictions on redemption where the inputs to the NAVs are unobservable will be calculated based upon the NAVs of such investments and are categorized as Level 3 of the fair value hierarchy. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a
pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of
market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing
process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly
from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically
received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct
and proportional changes in the fair value of the security. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Discounted cash flow valuation uses an internal analysis based on the Manager&#146;s expectation
of future income and expenses, capital structure, exit multiples of a security, and other unobservable inputs which may include contractual and factual loan factors, estimated future payments and credit rating.&nbsp;Significant changes in the
unobservable inputs of the models would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.</P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">Market comparable valuation estimates fair value by applying a valuation multiple to a key performance metric of the company, which may include unobservable
inputs such as earnings before interest, taxes, depreciation and amortization (&#147;EBITDA&#148;), the Manager&#146;s assumptions regarding comparable companies and non-public statements from the underlying company. Significant changes in the
unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.</P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">The validity of the fair value is reviewed by the Manager on a periodic basis and may be amended in accordance with the Trust&#146;s valuation procedures. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow"><B>3. FEDERAL INCOME TAX MATTERS </B></P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">The Fund intends to qualify as
a regulated investment company under Subchapter M of the Internal Revenue Code (the &#147;Code&#148;) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes
has been made. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains
tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">In accordance with U.S. GAAP, the
Manager has reviewed the Fund&#146;s tax positions for all open tax years. As of September&nbsp;30, 2015, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to
take in future tax returns. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">The Fund files U.S. tax returns. While the statute of limitations remains open to examine the Fund&#146;s U.S. tax returns filed
for the fiscal years ending in 2012-2014, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will
significantly change in the next twelve months. </P>

<p Style='page-break-before:always'>
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 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Arial Narrow">As of September&nbsp;30, 2015, the aggregate cost and the net unrealized appreciation (depreciation) of investments
for federal income tax purposes are as follows (amounts in thousands): </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="65%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt">


<TR STYLE="visibility:hidden; line-height:0pt; color:white">
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="12%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; "><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="12%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; "><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="12%"></TD>
<TD></TD>
<TD nowrap STYLE="ARIAL; "><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>
<TD></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:8pt">
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Federal<BR>Tax&nbsp;Cost</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Aggregate&nbsp;Gross<BR>Unrealized<BR>Appreciation</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Aggregate&nbsp;Gross<BR>Unrealized<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; "><B>Net&nbsp;Unrealized<BR>Appreciation<BR>(Depreciation)&nbsp;
<SUP STYLE="font-size:85%; vertical-align:top">(1)</SUP></B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;2,345,467</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;284,164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;(111,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">)&nbsp;</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;172,986</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:Arial Narrow; ">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Arial Narrow; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><I></I><SUP STYLE="font-size:85%; vertical-align:top">(1)</SUP>&nbsp;<I></I></TD>
<TD ALIGN="left" VALIGN="top"><I>Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals for federal income tax purposes. </I></TD></TR></TABLE>

<p Style='page-break-before:always'>
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<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="27%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="27%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="26%"></TD></TR>


<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="7"><FONT STYLE="font-family:Arial Narrow; "><B>GLOSSARY: (abbreviations that may be used in the preceding statements)</B></FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">(Unaudited)</FONT></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16" COLSPAN="5"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="5" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">Counterparty Abbreviations:</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">BCY</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Barclays Capital, Inc.</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">FOB</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Credit Suisse Securities (USA) LLC</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">MSC</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Morgan Stanley &amp; Co., Inc.</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">BOA</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Bank of America N.A.</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">GLM</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Goldman Sachs Bank USA</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">RDR</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">RBC Capital Markets</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">BOS</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Banc of America Securities LLC</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">GSC</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Goldman Sachs &amp; Co.</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">RTA</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Bank of New York Mellon Corp.</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">BPG</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">BNP Paribas Securities Corp.</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">GST</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Goldman Sachs International</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">SBI</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Citigroup Global Markets Ltd.</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">BPS</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">BNP Paribas S.A.</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">HUS</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">HSBC Bank USA N.A.</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">SCX</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Standard Chartered Bank</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">BRC</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Barclays Bank PLC</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">IND</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Cr&eacute;dit Agricole Corporate and Investment Bank S.A.</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">SOG</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Societe Generale</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">DBL</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Deutsche Bank AG London</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">JML</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">JP Morgan Securities Plc</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">UAG</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">UBS AG Stamford</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">DUB</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Deutsche Bank AG</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">JPM</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">JPMorgan Chase Bank N.A.</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">UBS</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">UBS Securities LLC</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">FBF</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Credit Suisse International</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">JPS</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">JPMorgan Securities, Inc.</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16" COLSPAN="3"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="3" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">Currency Abbreviations:</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">BRL</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Brazilian Real</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">GBP</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">British Pound</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">USD&nbsp;(or&nbsp;$)</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">United States Dollar</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">EUR</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Euro</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16" COLSPAN="3"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="3" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">Index/Spread Abbreviations:</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">ABX.HE</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Asset-Backed Securities Index - Home Equity</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16" COLSPAN="3"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top" COLSPAN="3" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Arial Narrow; ">Other Abbreviations:</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;&nbsp;</TD>
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">&nbsp;</TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">ABS</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Asset-Backed Security</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">CDO</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Collateralized Debt Obligation</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">REMIC</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Real Estate Mortgage Investment Conduit</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">ALT</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Alternate Loan Trust</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">LIBOR</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">London Interbank Offered Rate</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">TBD %</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Interest Rate To Be Determined When Loan Settles</FONT></TD></TR>
<TR STYLE="font-family:ARIAL; font-size:10pt">
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">CDI</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><FONT STYLE="font-family:Arial Narrow; ">Brazil Interbank Deposit Rate</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"></TD></TR>
</TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>Item&nbsp;2. Controls and Procedures </B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:6%; font-size:10pt; font-family:Times New Roman">(a) The principal executive officer and principal financial&nbsp;&amp; accounting officer have concluded that the registrant&#146;s disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document. </P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:6%; font-size:10pt; font-family:Times New Roman" ALIGN="justify">(b) There were no significant changes in the registrant&#146;s internal control over financial reporting (as defined in
Rule&nbsp;30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the registrant&#146;s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial
reporting. </P> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>Item&nbsp;3. Exhibits </B></P> <P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:6%; font-size:10pt; font-family:Times New Roman">A
separate certification for each principal executive officer and principal financial&nbsp;&amp; accounting officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT. </P>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Signatures </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">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-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>
<TD WIDTH="100%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">PIMCO Dynamic Income Fund</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">By:&nbsp;<U>/s/&nbsp;Peter&nbsp;G.&nbsp;Strelow&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</U></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Peter G. Strelow</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">President (Principal Executive Officer)</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Date: November&nbsp;24, 2015</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">By:&nbsp;<U>/s/&nbsp;William&nbsp;G.&nbsp;Galipeau&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</U></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">William G. Galipeau</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Treasurer (Principal Financial&nbsp;&amp; Accounting Officer)</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Date: November&nbsp;24, 2015</TD></TR>
</TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">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-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>
<TD WIDTH="100%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">By:&nbsp;<U>/s/&nbsp;Peter&nbsp;G.&nbsp;Strelow&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</U></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Peter G. Strelow</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">President (Principal Executive Officer)</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Date: November&nbsp;24, 2015</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">By:&nbsp;<U>/s/&nbsp;William&nbsp;G.&nbsp;Galipeau&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</U></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">William G. Galipeau</TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Treasurer (Principal Financial&nbsp;&amp; Accounting Officer)</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Date: November&nbsp;24, 2015</TD></TR>
</TABLE>
</BODY></HTML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>d45322dex99cert.htm
<DESCRIPTION>CERTIFICATIONS
<TEXT>
<HTML><HEAD>
<TITLE>Certifications</TITLE>
</HEAD>
 <BODY BGCOLOR="WHITE">

 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="right"><B>Exhibit 99.CERT </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B><U>Certification Under Rule 30a-2(a) </U></B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>CERTIFICATION </B></P> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">I, Peter G. Strelow, certify
that: </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">1.</TD>
<TD ALIGN="left" VALIGN="top">I have reviewed this report on Form N-Q of PIMCO Dynamic Income Fund; </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">2.</TD>
<TD ALIGN="left" VALIGN="top">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 the report; </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">3.</TD>
<TD ALIGN="left" VALIGN="top">Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
</TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">4.</TD>
<TD ALIGN="left" VALIGN="top">The registrant&#146;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: </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">a.</TD>
<TD ALIGN="left" VALIGN="top">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; </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">b.</TD>
<TD ALIGN="left" VALIGN="top">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; </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">c.</TD>
<TD ALIGN="left" VALIGN="top">Evaluated the effectiveness of the registrant&#146;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 </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">d.</TD>
<TD ALIGN="left" VALIGN="top">Disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is reasonably
likely to materially affect, the registrant&#146;s internal control over financial reporting; and </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">5.</TD>
<TD ALIGN="left" VALIGN="top">The registrant&#146;s other certifying officer(s) and I have disclosed to the registrant&#146;s auditors and the audit committee of the registrant&#146;s board of directors (or persons performing the equivalent
functions): </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">a.</TD>
<TD ALIGN="left" VALIGN="top">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&#146;s ability to record,
process, summarize, and report financial information; and </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">b.</TD>
<TD ALIGN="left" VALIGN="top">Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&#146;s internal control over financial reporting. </TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>
<TD WIDTH="13%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="14%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="71%"></TD></TR>


<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Date:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">November&nbsp;24, 2015</TD></TR>
<TR STYLE="font-size:1px; font-size:4pt">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.50pt solid #000000">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Signature:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">/s/ Peter G. Strelow</TD></TR>
<TR STYLE="font-size:1px; font-size:4pt">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1.50pt solid #000000">&nbsp;</P></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Title:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">President&nbsp;(Principal&nbsp;Executive&nbsp;Officer)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
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<TD VALIGN="bottom">&nbsp;</TD>
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 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="right"><B>Exhibit 99.CERT </B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B><U>Certification Under Rule 30a-2(a) </U></B></P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>CERTIFICATION </B></P> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">I, William G. Galipeau,
certify that: </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%" VALIGN="top" ALIGN="left">1.</TD>
<TD ALIGN="left" VALIGN="top">I have reviewed this report on Form N-Q of PIMCO Dynamic Income Fund; </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%" VALIGN="top" ALIGN="left">2.</TD>
<TD ALIGN="left" VALIGN="top">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 the report; </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%" VALIGN="top" ALIGN="left">3.</TD>
<TD ALIGN="left" VALIGN="top">Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
</TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%" VALIGN="top" ALIGN="left">4.</TD>
<TD ALIGN="left" VALIGN="top">The registrant&#146;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: </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">a.</TD>
<TD ALIGN="left" VALIGN="top">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; </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">b.</TD>
<TD ALIGN="left" VALIGN="top">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; </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">c.</TD>
<TD ALIGN="left" VALIGN="top">Evaluated the effectiveness of the registrant&#146;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 </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">d.</TD>
<TD ALIGN="left" VALIGN="top">Disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is reasonably
likely to materially affect, the registrant&#146;s internal control over financial reporting; and </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%" VALIGN="top" ALIGN="left">5.</TD>
<TD ALIGN="left" VALIGN="top">The registrant&#146;s other certifying officer(s) and I have disclosed to the registrant&#146;s auditors and the audit committee of the registrant&#146;s board of directors (or persons performing the equivalent
functions): </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">a.</TD>
<TD ALIGN="left" VALIGN="top">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&#146;s ability to record,
process, summarize, and report financial information; and </TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">b.</TD>
<TD ALIGN="left" VALIGN="top">Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant&#146;s internal control over financial reporting. </TD></TR></TABLE>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD VALIGN="top">Date:</TD>
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<TD VALIGN="top">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD>
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<TD VALIGN="bottom">November&nbsp;24, 2015</TD></TR>
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<TD VALIGN="top">Signature:</TD>
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<TD VALIGN="bottom">/s/ William G. Galipeau</TD></TR>
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<TD VALIGN="bottom">&nbsp;</TD>
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<TD VALIGN="top">Title:</TD>
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<TD VALIGN="bottom">Treasurer&nbsp;(Principal&nbsp;Financial&nbsp;&amp;&nbsp;Accounting&nbsp;Officer)&nbsp;&nbsp;</TD></TR>
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<TD VALIGN="bottom">&nbsp;</TD>
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